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来源类型Working Paper
规范类型报告
DOI10.3386/w12772
来源IDWorking Paper 12772
DSGE Models in a Data-Rich Environment
Jean Boivin; Marc Giannoni
发表日期2006-12-22
出版年2006
语种英语
摘要Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However, recent empirical research on factor models has shown that information contained in large data sets is relevant for the evolution of important macroeconomic series. This suggests that conventional model estimates and inference based on estimated DSGE models might be distorted. In this paper, we propose an empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This framework provides an interpretation of all information contained in a large data set, and in particular of the latent factors, through the lenses of a DSGE model. The estimation involves Markov-Chain Monte-Carlo (MCMC) methods. We apply this estimation approach to a state-of-the-art DSGE monetary model. We find evidence of imperfect measurement of the model's theoretical concepts, in particular for inflation. We show that exploiting more information is important for accurate estimation of the model's concepts and shocks, and that it implies different conclusions about key structural parameters and the sources of economic fluctuations.
主题Econometrics ; Estimation Methods ; Macroeconomics ; Macroeconomic Models ; Business Cycles
URLhttps://www.nber.org/papers/w12772
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/570450
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GB/T 7714
Jean Boivin,Marc Giannoni. DSGE Models in a Data-Rich Environment. 2006.
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