Estimation and Variance Decomposition in a Small-size DSGE Model

Oana Simona Hudea
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Oana Simona Hudea: Academy of Economic Studies, Bucharest

Romanian Statistical Review Supplement, 2015, vol. 63, issue 1, 121-127

Abstract: The purpose of this study is to make a grounded estimation-based analysis of the Romanian economy, considering several central economic variables, aggregated at macroeconomic level. By resorting to a basic dynamic stochastic general equilibrium model, the final equations of which are briefly described herein, and to the Bayes theorem imposing the setting of priors for the parameters to be estimated, the paper reveals the output obtained, in compliance with the methodological steps previously rendered, the main results, relating to the check of plots, the posterior distribution and the variance decomposition of the model variables being presented and discussed from an economic perspective.

Keywords: Bayes theorem; dynamic stochastic general equilibrium model; parameter estimation; posterior distribution; variance decomposition (search for similar items in EconPapers)
JEL-codes: C11 C13 C52 C68 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:rsr:supplm:v:63:y:2015:i:1:p:121-127

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