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Predictive Likelihood Comparisons with DSGE and DSGE-VAR Models [PDF]
SSRN Electronic Journal, 2013 This paper shows how to compute the h-step-ahead predictive likelihood for any subset of the observed variables in parametric discrete time series models estimated with Bayesian methods. The subset of variables may vary across forecast horizons and the problem thereby covers marginal and joint predictive likelihoods for a fixed subset as special cases.
Warne, Anders +2 more
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Potential Output in DSGE Models [PDF]
SSRN Electronic Journal, 2011 In view of the increasing use of Dynamic Stochastic General Equilibrium (DSGE) models in the macroeconomic projections and the policy process, this paper examines, both conceptually and empirically, alternative notions of potential output within DSGE models.
Igor Vetlov +4 more
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On the statistical identification of DSGE models [PDF]
Journal of Econometrics, 2009 Dynamic Stochastic General Equilibrium (DSGE) models are now considered attractive by the profession not only from the theoretical perspective but also from an empirical standpoint. As a consequence of this development, methods for diagnosing the fit of these models are being proposed and implemented.
Consolo, Agostino. +2 more
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Some Notes on Historical, Theoretical, and Empirical Background of DSGE Models
Review of Economic Perspectives, 2014 In this paper I present the historical, theoretical and empirical background of DSGE models. I show that the fundament of these models lies in optimizing agents framework and argue which impulses fueled the development of DSGE models.
Slanicay Martin
doaj +1 more source
An evaluation of the forecast performance of DSGE and VAR Models: The case of a developing country
Business Review, 2019 This paper estimates a DSGE model and three versions of VAR models (VARX, BVARX and BVAR) to analyze forecasting performance of these models in context of Pakistan.
Shahzad Ahmad, Adnan Haider
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DSGE Model-Based Forecasting [PDF]
SSRN Electronic Journal, 2012 Abstract Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory to explain and predict comovements of aggregate time series over the business cycle and to perform policy analysis. We explain how to use DSGE models for all three purposes – forecasting, story-telling, and policy experiments – and review their forecasting ...
Marco Del Negro, Frank Schorfheide
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Handbook on DSGE Models: Some Useful Tips in Modeling a DSGE Models [PDF]
SSRN Electronic Journal, 2015 Despite there are useful books and text books from recognized authors about modeling macroeconomics through various types of methods and methodologies, “Some Useful tips in Modeling a DSGE models” try to add special features through an economist can use to model macro and micro relations to explain different scenarios in an specific economy.
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A Comparison Analysis of Monetary Policy Effect Under an Open Economy Model
East Asian Economic Review, 2018 The paper analyzes and compares the effects of domestic monetary policy using DSGE, DSGE-VAR, and VAR based on a two-country open economy model of Korea and the U.S.
Keun Yeong Lee
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Stochastic volatility and DSGE models [PDF]
Economics Letters, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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