Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10226783 | Journal of Economic Dynamics and Control | 2018 | 32 Pages |
Abstract
Koop et al. (2013) suggest a simple diagnostic indicator for the Bayesian estimation of the parameters of a DSGE model. They show that, if a parameter is well identified, the precision of the posterior should improve as the (artificial) data size T increases, and the indicator checks the speed at which precision improves. As it does not require any additional programming, a researcher just needs to generate artificial data and estimate the model with increasing sample size, T. We apply this indicator to the benchmark Smets and Wouters (2007) DSGE model of the US economy, and suggest how to implement this indicator on DSGE models.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Jagjit S. Chadha, Katsuyuki Shibayama,