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Bayesian Estimation of DSGE models: Identification using a diagnostic indicator

Chadha, Jagjit S., Shibayama, Katsuyuki (2018) Bayesian Estimation of DSGE models: Identification using a diagnostic indicator. Journal of Economic Dynamics & Control, 95 . pp. 172-186. ISSN 0165-1889. E-ISSN 1879-1743. (doi:10.1016/j.jedc.2018.08.005) (KAR id:69281)

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Abstract

Koop, Pesaran and Smith (2013) suggest a simple diagnostic indicator for the Bayesian estimation of the parameters of a DSGE model. They show that, if a parameter is well identified, the precision of the posterior should improve as the (arti…cial) data size T increases, and the indicator checks the speed at which precision improves. As it does not require any additional programming, a researcher just needs to generate artificial data and estimate the model with increasing sample size, T. We apply this indicator to the benchmark Smets and Wouters’(2007) DSGE model of the US economy, and suggest how to implement this indicator on DSGE models.

Item Type: Article
DOI/Identification number: 10.1016/j.jedc.2018.08.005
Uncontrolled keywords: Bayesian Estimation, Dynamic stochastic general equilibrium models, Identification
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculties > Social Sciences > School of Economics
Depositing User: Katsuyuki Shibayama
Date Deposited: 27 Sep 2018 09:36 UTC
Last Modified: 29 Aug 2020 23:00 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/69281 (The current URI for this page, for reference purposes)
Chadha, Jagjit S.: https://orcid.org/0000-0001-7549-9027
Shibayama, Katsuyuki: https://orcid.org/0000-0003-3472-398X
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