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January 30, 2010 | History

Estimating the parameters of a small open economy DSGE model 1 edition

Estimating the parameters of a small open economy DSGE model
Daniel O. Beltran

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Estimating the parameters of a small open economy DSGE model
identifiability and inferential validity
Daniel O. Beltran and David Draper.

Published 2008 by Federal Reserve Board in Washington, D.C .
Written in English.

About the Book

"This paper estimates the parameters of a stylized dynamic stochastic general equilibrium model using maximum likelihood and Bayesian methods, paying special attention to the issue of weak parameter identification. Given the model and the available data, the posterior estimates of the weakly identified parameters are very sensitive to the choice of priors. We provide a set of tools to diagnose weak identification, which include surface plots of the log-likelihood as a function of two parameters, heat plots of the log-likelihood as a function of three parameters, Monte Carlo simulations using artificial data, and Bayesian estimation using three sets of priors. We find that the policy coefficients and the parameter governing the elasticity of labor supply are weakly identified by the data, and posterior predictive distributions remind us that DSGE models may make poor forecasts even when they fit the data well. Although parameter identification is model- and data-specific, the lack of identification of some key structural parameters in a small-scale DSGE model such as the one we examine should raise a red flag to researchers trying to estimate--and draw valid inferences from--large-scale models featuring many more parameters"--Federal Reserve Board web site.

Edition Notes

Title from PDF file as viewed on 6/22/2009.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.

Series
International finance discussion papers -- no. 955, International finance discussion papers (Online) -- no. 955.

Classifications

Library of Congress
HG3879

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL23557770M
LC Control Number
2009656125

History Created December 11, 2009 · 2 revisions Download catalog record: RDF / JSON

January 30, 2010 Edited by WorkBot add more information to works
December 11, 2009 Created by WorkBot add works page