Matching theory and data: Bayesian vector autoregression and dynamic stochastic general equilibrium models

Alexander Kriwoluzky

No 2008-060, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

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)
Date: 2008
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Related works:
Working Paper: Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2008-060

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