Approximating time varying structural models with time invariant structures

Filippo Ferroni, Christian Matthes and Fabio Canova

No 46, 2016 Meeting Papers from Society for Economic Dynamics

Abstract: The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. Identification and inferential distortions when a constant parameter model is incorrectly assumed are examined. Likelihood and VAR-based estimates of the structural dynamics when parameter variations are neglected are compared. Time variations in the financial frictions of Gertler and Karadi's (2010) model are studied.

Date: 2016
New Economics Papers: this item is included in nep-dge and nep-ger
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2016/paper_46.pdf (application/pdf)

Related works:
Working Paper: Approximating time varying structural models with time invariant structures (2016)
Working Paper: Approximating time varying structural models with time invariant structures (2015)
Working Paper: Approximating time varying structural models with time invariant structures (2015)
Working Paper: Approximating Time Varying Structural Models With Time Invariant Structures (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed016:46

Access Statistics for this paper

More papers in 2016 Meeting Papers from Society for Economic Dynamics Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().