Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)
Zhongjun Qu and
No WP2011-060, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics
The paper considers parameter identification, estimation and inference in medium scale DSGE models from a frequency domain perspective using the framework developed in Qu and Tkachenko (2010). The analysis uses Smets and Wouters (2007) as an illustrative example, motivated by the fact that it has become a workhorse model in the DSGE literature. For identification, in additional to checking parameter identifiably, we derive the non-identification curve to depict parameter values that yield observational equivalence, revealing which and how many parameters need to be fixed to achieve local identification. For estimation and inference, we contrast estimates obtained using the full spectrum with those using only the business cycle frequencies to find notably di¤erent parameter values and impulse response functions. A further comparison between the nonparametrically estimated and model implied spectra suggests that the business cycle based method delivers better estimates of the features that the model is intended to capture. Overall, the results suggest that the frequency domain based approach, in part due to its ability in handling subsets of frequencies, constitutes a fiexible framework for studying medium scale DSGE models.
Keywords: Dynamic stochastic general equilibrium models; frequency domain; identification; MCMC; model diagnostics; spectrum (search for similar items in EconPapers)
Pages: 64 pages
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Chapter: Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007) (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bos:wpaper:wp2011-060
Access Statistics for this paper
More papers in Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Program Coordinator ().