Comparing Hybrid DSGE Models

Alessia Paccagnini

No 228, Working Papers from University of Milano-Bicocca, Department of Economics

Abstract: This paper discusses the estimation of Dynamic Stochastic General Equilibrium (DSGE) models using hybrid models. These econometric tools provide the combination of an atheoretical statistical representation and the theoretical features of the DSGE model. A review of hybrid models presents the main aspects of these tools and why they are needed in the recent macroeconometric literature. Some of these models are compared to classical econometrics models (such as Vector Autoregressive, Factor Augmented VAR and Bayesian VAR) in a marginal data density analysis.

Keywords: Model Estimation; Bayesian Analysis; DSGE Models; Vector Autoregressions (search for similar items in EconPapers)
JEL-codes: C11 C15 C32 (search for similar items in EconPapers)
Pages: 35
Date: 2012-12, Revised 2012-12
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Persistent link: https://EconPapers.repec.org/RePEc:mib:wpaper:228

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