Limited information estimation and evaluation of DSGE models

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dc.contributor.author Fokac, M
dc.contributor.author Pagan, AR
dc.date.accessioned 2011-02-07T06:25:54Z
dc.date.issued 2010-01
dc.identifier.citation Journal of Applied Econometrics, 2010, 25 (1), pp. 55 - 70
dc.identifier.issn 0883-7252
dc.identifier.other C1UNSUBMIT 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.
dc.publisher John Wiley and Sons
dc.relation.isbasedon 10.1002/jae.1130
dc.title Limited information estimation and evaluation of DSGE models
dc.type Journal Article
dc.parent Journal of Applied Econometrics
dc.journal.volume 1
dc.journal.volume 25
dc.journal.number 1 en_US
dc.publocation USA en_US
dc.identifier.startpage 55 en_US
dc.identifier.endpage 70 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140299 Applied Economics Not Elsewhere Classified
dc.personcode 100844
dc.percentage 100 en_US
dc.classification.name Applied Economics not elsewhere classified en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Uncategorised (ID: 363)
utslib.collection.history Closed (ID: 3)


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