We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a subset of the parameters vary over time with unknown dynamics. To filter out the dynamic path of the time-varying parameter, we approximate the dynamics by an autoregressive process...

We build a time varying DSGE model with financial frictions in order to evaluate changes in the responses of the macroeconomy to financial friction shocks. Using US data, we find that the transmission of the financial friction shock to economic variables, such as output growth, has not changed...

DSGE models have recently received considerable attention in macroeconomic analysis and forecasting. They are usually estimated using Bayesian methods, which require the computation of the likelihood function under the assumption that the parameters of the model remain fixed throughout the...

Reducing hunger incidence in the country is still the major policy challenge confronting our leaders today. Statistics on hunger produced by both government and private institutions show a very slow reduction in hunger incidence over the last five years. Official data from Philippines Statistics...

This study seeks to analyze the effects of government expenditure shock and tax revenue shock on economic activity by applying a time-varying parameter vector autoregressive methodology. The advantage of this approach is that it allows for fiscal policy shocks to vary over time according to the...