DSGE模型的VARMA表示

ERN: Other Macroeconomics: Aggregative Models (Topic) Pub Date : 2015-09-11 DOI:10.2139/ssrn.2657799

Stephen D. Morris

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引用次数: 21

摘要

本文给出了一些简单的条件，用来确定给定DSGE模型的最简洁的VARMA表示。分析证明Smets和Wouters(2007)模型具有精确的VARMA(3,2)表示。在该模型中，从整个似然中局部可识别的结构参数的最大可能子集也仅从可识别的VARMA参数的子集中可识别。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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VARMA Representation of DSGE Models

This note develops simple conditions from which to determine the most concise VARMA representation of a given DSGE model. It is proven analytically that the Smets and Wouters (2007) model has exact VARMA(3,2) representation. In this model, the largest possible subset of structural parameters which is locally identifiable from the entire likelihood is also so merely from the subset of identifiable VARMA parameters.

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ERN: Other Macroeconomics: Aggregative Models (Topic)

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