| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10803 |
| DP10803 Approximating time varying structural models with time invariant structures | |
| Fabio Canova; Christian Matthes | |
| 发表日期 | 2015-09-06 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. Identification and inferential distortions when a constant parameter model is incorrectly assumed are examined. Likelihood and VAR-based estimates of the structural dynamics when parameter variations are neglected are compared. Time variations in the financial frictions of a Gertler and Karadi's (2010) model are studied. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Endogenous variations Misspecification Structural model Time varying coefficients |
| URL | https://cepr.org/publications/dp10803 |
| 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/539633 |
| 推荐引用方式 GB/T 7714 | Fabio Canova,Christian Matthes. DP10803 Approximating time varying structural models with time invariant structures. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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