Limited information estimation and evaluation of DSGE models

Fokac, M; Pagan, AR

Limited information estimation and evaluation of DSGE models

Fokac, M Pagan, AR

Permalink

Publisher:: John Wiley and Sons
Publication Type:: Journal Article
Citation:: Journal of Applied Econometrics, 2010, 25 (1), pp. 55 - 70
Issue Date:: 2010-01

Closed Access

	Filename	Description	Size
	2009001915OK.pdf		206.23 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Fokac, M	en_US
dc.contributor.author	Pagan, AR	en_US
dc.date.issued	2010-01	en_US
dc.identifier.citation	Journal of Applied Econometrics, 2010, 25 (1), pp. 55 - 70	en_US
dc.identifier.issn	0883-7252	en_US
dc.identifier.uri	http://hdl.handle.net/10453/13907
dc.description.abstract	We advance the proposition that dynamic stochastic general equilibrium (DSGE) models should not only be estimated and evaluated with full information methods. These require that the complete system of equations be specified properly. Some limited information analysis, which focuses upon specific equations, is therefore likely to be a useful complement to full system analysis. Two major problems occur when implementing limited information methods. These are the presence of forward-looking expectations in the system as well as unobservable non-stationary variables. We present methods for dealing with both of these difficulties, and illustrate the interaction between full and limited information methods using a well-known model.	en_US
dc.publisher	John Wiley and Sons	en_US
dc.relation.ispartof	Journal of Applied Econometrics	en_US
dc.relation.isbasedon	10.1002/jae.1130	en_US
dc.subject.classification	Econometrics	en_US
dc.title	Limited information estimation and evaluation of DSGE models	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	25	en_US
utslib.for	140299 Applied Economics not elsewhere classified	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	1	en_US
pubs.volume	25	en_US

Abstract:

We advance the proposition that dynamic stochastic general equilibrium (DSGE) models should not only be estimated and evaluated with full information methods. These require that the complete system of equations be specified properly. Some limited information analysis, which focuses upon specific equations, is therefore likely to be a useful complement to full system analysis. Two major problems occur when implementing limited information methods. These are the presence of forward-looking expectations in the system as well as unobservable non-stationary variables. We present methods for dealing with both of these difficulties, and illustrate the interaction between full and limited information methods using a well-known model.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/13907