Publication:
Dynamic stochastic general equilibrium inference using a score-driven approach

Simple item page
dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorBlazsek, Szabolcs
dc.contributor.authorEscribano, Álvaro
dc.contributor.authorLicht, Adrian
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2020-05-07T18:31:42Z
dc.date.available2020-05-07T18:31:42Z
dc.date.issued2020-05-07
dc.description.abstractIn this paper, the benefits of statistical inference of score-driven state-spacemodels are incorporated into the inference of dynamic stochastic general equilibrium (DSGE)models. We focus on DSGE models, for which a Gaussian ABCD representation exists. Precisionof statistical estimation is improved, by using a score-driven multivariate t-distribution for theerrors. First, the updating term of the transition equation of the ABCD representation isreplaced by the conditional score of the log-likelihood (LL) with respect to location. Second,the time-constant scale parameters of the error terms in the measurement equation of the ABCDrepresentation are replaced by a dynamic parameter that is updated by the conditional score ofthe LL with respect to scale. Impulse response functions (IRFs) and conditions of the maximumlikelihood (ML) estimator are presented. In the empirical application, a benchmark DSGE modelis estimated for real data on US economic output, inflation and interest rate for the period of1954-2019. The score-driven ABCD representation improves the estimation precision of theGaussian ABCD representation. The score-driven ABCD representation with dynamic scaleprovides the best description of the time series data, by identifying a structural change in thesample period and providing the most precise IRF estimates.en
dc.identifier.issn2340-5031es
dc.identifier.urihttps://hdl.handle.net/10016/30347
dc.identifier.uxxiDT/0000001752es
dc.language.isoengen
dc.relation.ispartofseriesWorking paper. Economicsen
dc.relation.ispartofseries20-05
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.otherDynamic Stochastic General Equilibrium (Dsge)en
dc.subject.otherDynamic Conditional Score (Dcs)en
dc.subject.otherGeneralized Autoregressive Score (Gas)en
dc.subject.otherBeta-T-Egarchen
dc.titleDynamic stochastic general equilibrium inference using a score-driven approachen
dc.typeworking paper*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
we2005.pdf
Size:
470.43 KB
Format:
Adobe Portable Document Format
Download
Collections
DE - Working Papers. Economics. WE