A Bayesian Approach to Calibration

DeJong, David N.; Ingram, Beth F.; Whiteman, Charles H.

doi:10.1080/07350015.1996.10524625

Cited by 55 publications

(45 citation statements)

References 10 publications

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“…Equations (17) and (18) show that the smaller is; the closer the estimates are to the OLS estimates of an unrestricted VAR. Instead, the higher is, the closer the VAR estimates will be tilted towards the parameters in the VAR approximation of the DSGE model (^ b ( ) and^ u;b ( )).…”

Section: Dsge-varmentioning

confidence: 99%

On the predictability of time-varying VAR and DSGE models

Bekiros

Paccagnini

2012

Empir Econ

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Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic ‡uctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with some of the DSGE misspeci…cations as they are able to solve the tradeo¤ between theoretical coherence and empirical …t. However, these models are still linear and they do not consider time-variation for parameters. The time-varying properties in VAR or DSGE models capture the inherent nonlinearities and the adaptive underlying structure of the economy in a robust manner. In this paper, we present a state space time-varying parameter VAR model. Moreover, we focus on the DSGE-VAR that combines a micro-founded DSGE model with the ‡exibility of a VAR framework. All the aforementioned models as well simple DSGEs and Bayesian VARs are used in a comparative investigation of their out-of-sample predictive performance regarding the US economy. The results indicate that while in general the classical VAR and BVARs provide with good forecasting results, in many cases the TVP-VAR and the DSGE-VAR outperform the other models.

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Section: Dsge-varmentioning

confidence: 99%

On the predictability of time-varying VAR and DSGE models

Bekiros

Paccagnini

2012

Empir Econ

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“…Recent Bayesian and non-Bayesian research, however, has resulted in formal econometric tools that are general enough to explicitly account for misspecification problems that arise in the context of DSGE models. Examples of Bayesian approaches are Canova (1994), Dejong, Ingram, and Whiteman (1996), Geweke (1999) The presence of misspecification might suggest that we should simply ignore the cross-coefficient restrictions implied by dynamic economic theories in the empirical work and try to answer the questions posed above directly by VARs. Unfortunately, there is no free lunch.…”

Section: Dsge Modelsmentioning

confidence: 99%

Bayesian Methods in Macroeconometrics

Schorfheide¹

2008

The New Palgrave Dictionary of Economics

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“…Our simulation exercises adapt the Bayesian methods of DeJong, Ingram, and Whiteman (1996). This requires us to calibrate prior distributions for the parameters of our small open economy-RBC model.…”

Section: The Numerical Solution and Priorsmentioning

confidence: 99%

“…First, we display plots of estimated T and E densities, which should be close and overlap if the RBC model is a good fit to the data. Second, we use the confidence interval criterion (CIC ) statistic developed by DeJong, Ingram, and Whiteman (1996). The CIC measures the intersection of T and E distributions of either the LM or Wald statistics.…”

Section: Monte Carlo Strategymentioning

confidence: 99%

The present-value model of the current account has been rejected: Round up the usual suspects

Nason

Rogers

2006

Journal of International Economics

118

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A Bayesian Approach to Calibration

Cited by 55 publications

References 10 publications

On the predictability of time-varying VAR and DSGE models

On the predictability of time-varying VAR and DSGE models

Bayesian Methods in Macroeconometrics

The present-value model of the current account has been rejected: Round up the usual suspects

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