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DSGE models with observation-driven time-varying parameters

Angelini, Giovanni; Gorgi, Paolo - 2018

This paper proposes a novel approach to introduce time-variation in structural parameters of DSGE models. Structural parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE model can be easily performed by maximum likelihood...

Persistent link: https://www.econbiz.de/10011813395

In- and out-of-sample specification analysis of spot rate models : further evidence for the period 1982-2008

Cai, Lili; Swanson, Norman R. - 2011

We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...

Persistent link: https://www.econbiz.de/10009130742

Comparison of Bayesian model selection criteria and conditional Kolmogorov test as applied to spot asset pricing models

Shen, Xiangjin; Tsurumi, Hiroki - 2011

We compare Bayesian and sample theory model specification criteria. For the Bayesian criteria we use the deviance information criterion and the cumulative density of the mean squared errors of forecast. For the sample theory criterion we use the conditional Kolmogorov test. We use Markov chain...

Persistent link: https://www.econbiz.de/10009151894

Time to Reject the Privileging of Economic Theory Over Empirical Evidence? A Reply to Lawson (2009)

Juselius, Katarina - 2009

The present financial and economic crisis has revealed a systemic failure of academic economics and emphasized the need to re-think how to model economic phenomena. Lawson (2009) seems concerned that critics of standard models now will fill academic journals with contributions that make the same...

Persistent link: https://www.econbiz.de/10014204400

Real-Time Model Uncertainty in the United States : The Fed from 1996 to 2003

Tetlow, Robert J. - 2006

We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model's...

Persistent link: https://www.econbiz.de/10012783775

Constructive Data Mining : Modeling Consumers' Expenditure in Venezuela

Campos, Julia; Ericsson, Neil R. - 2003

Hoover and Perez (1999) advocate a constructive approach to data mining. The current paper identifies four pejorative senses of data mining and shows how Hoover and Perez's approach counters each. To assess the benefits of constructive data mining, the current paper applies a data-mining...

Persistent link: https://www.econbiz.de/10014154080

Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy

Onatski, Alexei; Stock, James H. - 2001

This paper examines monetary policy in Rudebusch and Svensson's (1999) two equation macroeconomic model when the policymaker recognizes that the model is an approximation and is uncertain about the quality of that approximation. It is argued that the minimax approach of robust control provides a...

Persistent link: https://www.econbiz.de/10014156171

General-to-Specific Modeling : An Overview and Selected Bibliography

Campos, Julia; Ericsson, Neil R.; Hendry, David F. - 2005

of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection …This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an …, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty …

Persistent link: https://www.econbiz.de/10014062671

Real-Time Model Uncertainty in the United States : 'Robust' Policies Put to the Test

Tetlow, Robert J. - 2011

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of commonly applied, simple monetary policy rules. I...

Persistent link: https://www.econbiz.de/10014184898

Estimation and Evaluation of DSGE Models : Progress and Challenges

Schorfheide, Frank - 2011

Estimated dynamic stochastic equilibrium (DSGE) models are now widely used for empirical research in macroeconomics as well as for quantitative policy analysis and forecasting at central banks around the world. This paper reviews recent advances in the estimation and evaluation of DSGE models,...

Persistent link: https://www.econbiz.de/10014186380

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