Limited information estimation and evaluation of DSGE models
Fukač, Martin & Pagan, Adrian (2010) Limited information estimation and evaluation of DSGE models. Journal of Applied Econometrics, 25(1), pp. 55-70.
We advance the proposition that dynamic stochastic general equilibrium (DSGE) models should not only be estimated and evaluated with full information methods. These require that the complete system of equations be specified properly. Some limited information analysis, which focuses upon specific equations, is therefore likely to be a useful complement to full system analysis. Two major problems occur when implementing limited information methods. These are the presence of forward-looking expectations in the system as well as unobservable non-stationary variables. We present methods for dealing with both of these difficulties, and illustrate the interaction between full and limited information methods using a well-known model.
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|Item Type:||Journal Article|
|Keywords:||dynamic stochastic general equilibrium models, DSGE models|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)|
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
Current > Schools > School of Economics & Finance
|Deposited On:||11 Nov 2010 11:22|
|Last Modified:||11 Aug 2011 00:10|
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