Structural Breaks in Estimated DSGE Models with Indeterminacy

Siddhartha Chib, Michael Dueker and Anatoliy Belaygorod ()

No 357, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: Lubik and Schorfheide (2004) extend estimated DSGE models to address monetary policy indeterminacy. Their method leads to an all-or-none classification of a time period as having determinate or indeterminate monetary policy. Sub-sample estimates indicate, however, that U.S. monetary policy might have shifted from determinacy to intdeterminacy and back at some point between 1960 and 2003. Our paper introduces methods needed to apply Chib's (1996) change-point model to an estimated DSGE model written in state-space form.

Keywords: Indeterminacy; change point model (search for similar items in EconPapers)
JEL-codes: D58 E52 (search for similar items in EconPapers)
Date: 2005-11-11
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