Limited information estimation and evaluation of DSGE models
Description
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.
Impact and interest:
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ID Code: | 38435 |
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Item Type: | Contribution to Journal (Journal Article) |
Refereed: | Yes |
Measurements or Duration: | 16 pages |
DOI: | 10.1002/jae.1130 |
ISSN: | 0883-7252 |
Pure ID: | 32192718 |
Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
Copyright Owner: | Consult author(s) regarding copyright matters |
Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au |
Deposited On: | 11 Nov 2010 01:22 |
Last Modified: | 02 Mar 2024 06:31 |
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