| 来源类型 | Discussion paper
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| 规范类型 | 论文
|
| 来源ID | DP3231
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| DP3231 The Political Economy of Finance |
| Marco Pagano; Paolo Volpin
|
| 发表日期 | 2002-02-20
|
| 出版年 | 2002
|
| 语种 | 英语
|
| 摘要 | Equilibrium business cycle models have typically less shocks than variables. As pointed out by Altug, 1989, and Sargent, 1989, if variables are measured with error, this characteristic implies that the model solution for measured variables has a factor structure. This Paper compares estimation performance for the impulse response coefficients based on a VAR approximation to this class of models and an estimation method that explicitly takes into account the restrictions implied by the factor structure. Bias and mean squared error for both factor based and VAR based estimates of impulse response functions are quantified using, as a data generating process, a calibrated standard equilibrium business cycle model. We show that, at short horizons, VAR estimates of impulse response functions are less accurate than factor estimates while the two methods perform similarly at medium and long run horizons. |
| 主题 | International Macroeconomics
|
| 关键词 | Dynamic factor models
Structural vars
Identification
Equilibrium business cycle models
|
| URL | https://cepr.org/publications/dp3231
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532256
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推荐引用方式
GB/T 7714 |
Marco Pagano,Paolo Volpin. DP3231 The Political Economy of Finance. 2002.
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