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

Alexander Kriwoluzky

SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

Abstract: This paper shows how to identify the structural shocks of a Vector Autore- gression (VAR) while at the same time estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data generating process. It proposes a framework to estimate 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)
Pages: 32 pages
Date: 2008-09
New Economics Papers: this item is included in nep-cba, nep-dge, nep-ecm and nep-ets
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http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-060.pdf (application/pdf)

Related works:
Working Paper: Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models (2009) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hum:wpaper:sfb649dp2008-060

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