| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11178 |
| DP11178 VAR Information and the Empirical Validation of DSGE Models | |
| Mario Forni; Luca Gambetti; Luca Sala | |
| 发表日期 | 2016-03-19 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | A shock of interest can be recovered, either exactly or with a good approximation, by means of standard VAR techniques even when the structural MA representation is non- invertible. We propose a measure of how informative a VAR model is for a specific shock of interest. We show how to use such a measure for the validation of shocks' transmission mechanism of DSGE models through VARs. In an application, we validate a theory of news shocks. The theory does fairly well for all variables, but understates the long-run effects of technology news on TFP. |
| 主题 | Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp11178 |
| 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/539994 |
| 推荐引用方式 GB/T 7714 | Mario Forni,Luca Gambetti,Luca Sala. DP11178 VAR Information and the Empirical Validation of DSGE Models. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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