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Model Validation and DSGE Modeling
Econometrics, 2022 The primary objective of this paper is to revisit DSGE models with a view to bringing out their key weaknesses, including statistical misspecification, non-identification of deep parameters, substantive inadequacy, weak forecasting performance, and ...
Niraj Poudyal, Aris Spanos
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Sankey diagrams for macroeconomics: A teaching complement bridging undergraduate and graduate Macro [PDF]
Heliyon, 2022 There is a widespread call in the academy to teach macroeconomics more homogeneously at the graduate and undergraduate levels. Current state-of-the-art research in macroeconomics obliges teachers of graduate courses to focus on dynamic stochastic general
Gonzalo F. de-Córdoba +1 more
doaj +2 more sources
Bayesian analysis of DSGE models [PDF]
SSRN Electronic Journal, 2006 This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models.
Frank Schorfheide, Sungbae An
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Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility [PDF]
Financial Innovation, 2022 Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper introduces the stochastic volatility shock that follows a thick-tailed Student’s t-distribution into a high-order approximate dynamic ...
Xiao-Li Gong +3 more
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Does evidence challenge the DSGE model? [PDF]
International Journal of Entrepreneurial Knowledge, 2014 DSGE are for a time the favorite models in the simulation of monetary policies at the central banks. Two of its basic assumptions are discussed in this paper: (a) the absence of endogenous nonlinearities and the exogenous nature of shocks and (b) the ...
Tanya Araújo +3 more
doaj +4 more sources
The Econometrics of DSGE Models [PDF]
SSRN Electronic Journal, 2009 In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods.
Jesús Fernández-Villaverde
core +7 more sources
Impulse response identification in DSGE models [PDF]
SSRN Electronic Journal, 2010 Dynamic stochastic general equilibrium (DSGE) models have become a widely used tool for policymakers. This paper modifies the global identification theory used for structural vector autoregressions, and applies it to DSGE models.
Martin Fukac
core +2 more sources
DSGE model-based forecasting of non-modelled variables [PDF]
International Journal of Forecasting, 2008 This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables).
Frank Schorfheide +2 more
core +3 more sources
Production Structure and Multiple Equilibria - A DSGE Perspective [PDF]
SHS Web of Conferences, 2023 This paper integrates the Austrian school’s production structure theory and financial market theory, considers the impact of heterogeneity of firms’ production cycles on economic fluctuations, constructs a DSGE model that incorporates production ...
Hu Quan, Wang Siwei
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Bootstrapping DSGE Models [PDF]
SSRN Electronic Journal, 2016 This paper explores the potential of bootstrap methods in the empirical evalu- ation of dynamic stochastic general equilibrium (DSGE) models and, more generally, in linear rational expectations models featuring unobservable (latent) components. We consider two dimensions. First, we provide mild regularity conditions that suffice for the bootstrap Quasi-
Angelini, Giovanni +2 more
openaire +2 more sources