Add to ORKGThis 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. JEL classification: C51
Robust sign restrictions derived from calibrated DSGE models are used to identify structual shocks i...
Abstract: We propose a new information criterion for impulse response function matching esti-mators ...
This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following...
This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simult...
This paper shows how to identify the structural shocks of a Vector Autore-gression (VAR) while at th...
Shock identification in Vector Autoregressive (VAR) models has often put researchers in a position f...
We propose a new Information Criterion for Impulse Response Function Matching estimators of the stru...
The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms...
The identification of reduced-form VAR model had been the subject of numerous debates in the literat...
Most macroeconomic models, both fully structural models as well as SVAR models, view economic outcom...
The model considered in the paper is defined as VAR with the prior distribution for parameters gener...
The bad time series performances of dynamic stochastic general equilibrium (DSGE) models currently u...
Dynamic Stochastic General Equilibrium (DSGE) models are now considered attractive by the profession...
Dynamic Stochastic General Equilibrium (DSGE) models are now considered attractive by the profession...
Abstract: We propose a new information criterion for impulse response function matching esti-mators ...
Robust sign restrictions derived from calibrated DSGE models are used to identify structual shocks i...
Abstract: We propose a new information criterion for impulse response function matching esti-mators ...
This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following...
This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simult...
This paper shows how to identify the structural shocks of a Vector Autore-gression (VAR) while at th...
Shock identification in Vector Autoregressive (VAR) models has often put researchers in a position f...
We propose a new Information Criterion for Impulse Response Function Matching estimators of the stru...
The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms...
The identification of reduced-form VAR model had been the subject of numerous debates in the literat...
Most macroeconomic models, both fully structural models as well as SVAR models, view economic outcom...
The model considered in the paper is defined as VAR with the prior distribution for parameters gener...
The bad time series performances of dynamic stochastic general equilibrium (DSGE) models currently u...
Dynamic Stochastic General Equilibrium (DSGE) models are now considered attractive by the profession...
Dynamic Stochastic General Equilibrium (DSGE) models are now considered attractive by the profession...
Abstract: We propose a new information criterion for impulse response function matching esti-mators ...
Robust sign restrictions derived from calibrated DSGE models are used to identify structual shocks i...
Abstract: We propose a new information criterion for impulse response function matching esti-mators ...
This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following...