Non-stationary Hours in a DSGE Model
Yongsung Chang (),
Taeyoung Doh and
Frank Schorfheide ()
No 5232, CEPR Discussion Papers from C.E.P.R. Discussion Papers
The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long-run dynamics that are at odds with the data. Relaxing these restrictions can close the gap between DSGE models and vector autoregressions. This paper modifies a simple stochastic growth model by incorporating permanent labor supply shocks that can generate a unit root in hours worked. Using Bayesian methods we estimate two versions of the DSGE model: the standard specification in which hours worked are stationary and the modified version with permanent labor supply shocks. We find that the data support the latter specification.
Keywords: Bayesian econometrics; DSGE models; non-stationary hours (search for similar items in EconPapers)
JEL-codes: C32 E52 F41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at firstname.lastname@example.org
Journal Article: Non-stationary Hours in a DSGE Model (2007)
Journal Article: Non‐stationary Hours in a DSGE Model (2007)
Working Paper: Non-stationary hours in a DSGE model (2006)
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:cpr:ceprdp:5232
Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=5232
Access Statistics for this paper
More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().