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Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models

Alexander Kriwoluzky

No ECO2009/29, Economics Working Papers from European University Institute

Abstract: This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating process. It proposes a framework for estimating the parameters of the VAR model and the DSGE model jointly: the VAR model is identified by sign restrictions derived from the DSGE model; the DSGE model is estimated by matching the corresponding impulse response functions.

Keywords: Bayesian Model Estimation; Vector Autoregression; Identification (search for similar items in EconPapers)
JEL-codes: C51 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-dge, nep-ecm and nep-ets
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