| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6779 |
| DP6779 Asset Prices, Debt Constraints and Inefficiency | |
| PIETRO REICHLIN; Gaetano Bloise | |
| 发表日期 | 2008-04-23 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This chapter highlights the problems that structural methods and SVAR approaches have when estimating DSGE models and examining their ability to capture important features of the data. We show that structural methods are subject to severe identification problems due, in large part, to the nature of DSGE models. The problems can be patched up in a number of ways, but solved only if DSGEs are completely reparametrized or respecified. The potential misspecification of the structural relationships give Bayesian methods an hedge over classical ones in structural estimation. SVAR approaches may face invertibility problems but simple diagnostics can help to detect and remedy these problems. A pragmatic empirical approach ought to use the flexibility of SVARs against potential misspecification of the structural relationships but must firmly tie SVARs to the class of DSGE models which could have have generated the data. |
| 主题 | International Macroeconomics |
| 关键词 | Dsge models Identification Invertibility Svar models |
| URL | https://cepr.org/publications/dp6779 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535627 |
| 推荐引用方式 GB/T 7714 | PIETRO REICHLIN,Gaetano Bloise. DP6779 Asset Prices, Debt Constraints and Inefficiency. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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