Limited information estimation and evaluation of DSGE models

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Show simple item record Fokac, Martin en_US Pagan, Adrian en_US
dc.contributor.editor en_US 2011-02-07T06:25:54Z 2011-02-07T06:25:54Z 2010 en_US
dc.identifier 2009001915 en_US
dc.identifier.citation Fokac Martin and Pagan Adrian 2010, 'Limited information estimation and evaluation of DSGE models', John Wiley and Sons, vol. 25, no. 1, pp. 55-70. en_US
dc.identifier.issn 0883-7252 en_US
dc.identifier.other C1UNSUBMIT en_US
dc.description.abstract We advance the proposition that dynamic stochastic general equilibrium (DSGE) models should not only be estimated and evaluated with full information methods. These require that the complete system of equations be specified properly. Some limited information analysis, which focuses upon specific equations, is therefore likely to be a useful complement to full system analysis. Two major problems occur when implementing limited information methods. These are the presence of forward-looking expectations in the system as well as unobservable non-stationary variables. We present methods for dealing with both of these difficulties, and illustrate the interaction between full and limited information methods using a well-known model. en_US
dc.language en_US
dc.publisher John Wiley and Sons en_US
dc.relation.isbasedon en_US
dc.title Limited information estimation and evaluation of DSGE models en_US
dc.parent Journal of Applied Econometrics en_US
dc.journal.volume 25 en_US
dc.journal.number 1 en_US
dc.publocation USA en_US
dc.identifier.startpage 55 en_US
dc.identifier.endpage 70 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140299 en_US
dc.personcode 0000059323 en_US
dc.personcode 100844 en_US
dc.percentage 100 en_US Applied Economics not elsewhere classified en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US en_US
dc.location.activity en_US
dc.description.keywords NA en_US
dc.staffid en_US
dc.staffid 100844 en_US

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