全球智库信息集成服务系统(G2TT): Confronting Model Misspecification in Macroeconomics

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w17791
来源ID	Working Paper 17791
	Confronting Model Misspecification in Macroeconomics
	Daniel F. Waggoner; Tao Zha
发表日期	2012-01-26
出版年	2012
语种	英语
摘要	We estimate a Markov-switching mixture of two familiar macroeconomic models: a richly parameterized DSGE model and a corresponding BVAR model. We show that the Markov-switching mixture model dominates both individual models and improves the fit considerably. Our estimation indicates that the DSGE model plays an important role only in the late 1970s and the early 1980s. We show how to use the mixture model as a data filter for estimation of the DSGE model when the BVAR model is not identified. Moreover, we show how to compute the impulse responses to the same type of shock shared by the DSGE and BVAR models when the shock is identified in the BVAR model. Our exercises demonstrate the importance of integrating model uncertainty and parameter uncertainty to address potential model misspecification in macroeconomics.
主题	Econometrics ; Estimation Methods ; Macroeconomics ; Consumption and Investment ; Money and Interest Rates
URL	https://www.nber.org/papers/w17791
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/575466
推荐引用方式 GB/T 7714	Daniel F. Waggoner,Tao Zha. Confronting Model Misspecification in Macroeconomics. 2012.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w17791.pdf（365KB）	智库出版物		限制开放	CC BY-NC-SA	浏览