Bayesian estimation of DSGE models: identification using a diagnostic indicator

Jagjit Chadha and Katsuyuki Shibayama

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Koop, Pesaran and Smith (2013) suggest a simple diagnostic indicator for the Bayesian estimation of the parameters of a DSGE model. They show that, if a parameter is well identiÖed, the precision of the posterior should improve as the (artiÖcial) data size T increases, and the indicator checks the speed at which precision improves. As it does not require any additional programming, a researcher just needs to generate artiÖcial data and estimate the model with increasing sample size, T. We apply this indicator to the benchmark Smets and Woutersí(2007) DSGE model of the US economy, and suggest how to implement this indicator on DSGE models

Keywords: Bayesian estimation; dynamic stochastic general equilibrium models; identification. (search for similar items in EconPapers)
JEL-codes: C51 C52 E32 (search for similar items in EconPapers)
Date: 2018-09
New Economics Papers: this item is included in nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Bayesian estimation of DSGE models: Identification using a diagnostic indicator (2018)
Working Paper: Bayesian Estimation of DSGE Models: identification using a diagnostic indicator (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:90383

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