DSGE Models in Macroeconomics: Estimation, Evaluation and New Developments
Nathan Balke, Fabio Canova, Fabio Milani, Mark Wynne
Emerald Group Publishing, Nov 29, 2012 - Business & Economics - 467 pages
This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analyzing a variety of issues in empirical macroeconomics. The research articles make contributions in several key areas in DSGE modeling and estimation. In particular, papers cover the modeling and role of expectations, the study of optimal monetary policy in two-country models, and the problem of non-invertibility. Other interesting areas of inquiry include the analysis of parameter identification in new open economy macroeconomic models and the modeling of trend inflation shocks. The second part of the volume is devoted to articles that offer innovations in econometric methodology. These papers advance new techniques for addressing major inferential problems and include discussion and applications of Laplace-type, frequency domain, empirical likelihood and method of moments estimators.
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agents Aruoba assume Bayes factors Bayesian estimation behavior calibrated coefficients consumption country H denotes DSGE models dynamics Econometrics elasticity empirical likelihood endogenous equation equilibrium exogenous expectation formation federal funds rate forecast Foreign output Galı Home and Foreign identification implies impulse responses inflation rate inflation target innovations interest rate labor lagged learning likelihood function literature log-linearized macroeconomic matrix Milani misspecification Monacelli 2005 monetary policy monetary policy shock monetary shocks Monte Carlo NKPC non-invertibility objective function obtain optimal monetary policy output gap PCP model persistence Phillips curve policy rate posterior distribution PPI inflation prior productivity shocks rational expectations Schorfheide simulated Smets and Wouters standard deviation sticky sticky price stochastic stochastic process structural parameters structural shocks surprise technology shock tÀ1 þ Table Taylor rule technology shocks trend inflation shocks values vector volatility wage