DSGE Models with Student- t Errors

Siddhartha Chib and Srikanth Ramamurthy

Econometric Reviews, 2014, vol. 33, issue 1-4, 152-171

Abstract: This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student- t distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the t -distribution, the TaRB-MH algorithm of Chib and Ramamurthy (2010) is used to estimate the model. A technique for estimating the marginal likelihood of the DSGE student- t model is also provided. The methodologies are illustrated first with simulated data and then with the DSGE model of Ireland (2004) where the results support the t -error model in relation to the Gaussian model.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (49)

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2013.807152 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:33:y:2014:i:1-4:p:152-171

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2013.807152

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().