Approximating time varying structural models with time invariant structures
Fabio Canova,
Filippo Ferroni and
Christian Matthes
No No 1/2016, Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
Abstract:
The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. Identification and inferential distortions when a constant parameter model is incorrectly assumed are examined. Likelihood and VAR-based estimates of the structural dynamics when parameter variations are neglected are compared. Time variations in the financial frictions of Gertler and Karadi s (2010) model are studied.
Keywords: Structural model; Time-varying coefficients; Endogenous variations; Misspecification (search for similar items in EconPapers)
Pages: 41 pages
Date: 2016-01
New Economics Papers: this item is included in nep-dge, nep-ets and nep-mac
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Citations: View citations in EconPapers (5)
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Related works:
Working Paper: Approximating time varying structural models with time invariant structures (2016) 
Working Paper: Approximating time varying structural models with time invariant structures (2015) 
Working Paper: Approximating time varying structural models with time invariant structures (2015) 
Working Paper: Approximating Time Varying Structural Models With Time Invariant Structures (2015) 
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Persistent link: https://EconPapers.repec.org/RePEc:bny:wpaper:0041
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