通过动态因子模型通知DSGE模型

IF 3.1 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2025-03-25 DOI:10.1002/jae.3122

Mario Forni, Luca Gambetti, Marco Lippi, Luca Sala

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引用次数: 0

摘要

结构动力因子模型（SDFM）是构建动态随机一般均衡（DSGE）模型的可靠工具。这是因为DSGE模型的对数线性解具有一个因子结构，它保证了两个模型表示之间的一致性。我们通过模拟来评估SDFM对DSGE分析的有用性。使用标准DSGE模型作为数据生成过程，我们证明了因子模型总是能准确地估计脉冲响应函数。作为一种应用，我们重新评估了研究小时对技术冲击反应的文献。另一个应用是研究货币政策的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Informing DSGE Models Through Dynamic Factor Models

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Informing DSGE Models Through Dynamic Factor Models

Structural dynamic factor models (SDFM) represent a reliable tool to inform the construction of dynamic stochastic general equilibrium (DSGE) models. The reason is that the log-linear solution of a DSGE model has a factor structure which ensures consistency between the representations of the two models. We assess the usefulness of SDFM for DSGE analysis by means of simulations. Using a standard DSGE model as the data generating process, we show that the factor model always provides accurate estimates of the impulse response functions. As an application, we reassess the literature studying the response of hours to technology shock. An additional application studies the effects of monetary policy.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.