Evidence on features of a DSGE business cycle model from Bayesian model averaging

Strachan, Rodney W. and Van Dijk, Herman K. (2013) Evidence on features of a DSGE business cycle model from Bayesian model averaging. International Economic Review, 54 1: 385-402. doi:10.1111/j.1468-2354.2012.00737.x

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Author Strachan, Rodney W.
Van Dijk, Herman K.
Title Evidence on features of a DSGE business cycle model from Bayesian model averaging
Journal name International Economic Review   Check publisher's open access policy
ISSN 0020-6598
1468-2354
Publication date 2013-02
Sub-type Article (original research)
DOI 10.1111/j.1468-2354.2012.00737.x
Open Access Status
Volume 54
Issue 1
Start page 385
End page 402
Total pages 18
Place of publication Hoboken, NJ, United States
Publisher Wiley-Blackwell Publishing
Collection year 2014
Language eng
Formatted abstract
The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is evaluated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date, and a range of lags and deterministic processes. We find support for a number of features implied by the economic model, and the evidence suggests a break in the entire model structure around 1984, after which technology shocks appear to account for all stochastic trends. Business cycle volatility seems more due to investment-specific technology shocks than neutral technology shocks.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Non HERDC
School of Economics Publications
 
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Created: Tue, 03 Dec 2013, 13:30:53 EST by Alys Hohnen on behalf of School of Economics