A DSGE model with housing in the cointegrated VAR framework

Bjørnar Karlsen Kivedal

Empirical Economics, 2014, vol. 47, issue 3, 853-880

Abstract: In order to empirically investigate the assumptions underlying a theoretical dynamic stochastic general equilibrium (DSGE) model, the long-run and the short-run structure of the model may be imposed in the framework given by a cointegrated vector autoregression (CVAR) model. This allows testing restrictions pertaining to the model without filtering the data before estimating the model. A DSGE model which includes financial markets is tested in the CVAR framework, and restrictions from the theoretical model are mainly rejected. Comparing impulse response functions from the theoretical model and the restricted empirical model also show that the results from the theoretical model are not found in the data. This suggests that the theoretical model needs to be extended or modified before it can match the empirical observations. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: DSGE; Housing; Cointegrated VAR; C32; E32; R21 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Working Paper: A DSGE Model with Housing in the Cointegrated VAR Framework (2012)
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DOI: 10.1007/s00181-013-0765-7

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