Kriwoluzky, Alexander - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
This paper shows how to identify the structural shocks of a Vector Autoregression(VAR) while at the same time estimating a dynamic stochastic generalequilibrium (DSGE) model that is not assumed to replicate the data generatingprocess. It proposes a framework to estimate the parameters of the VAR...