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@inproceedings{588922,
author = {Hloušek, Miroslav},
address = {Hradec Králové},
booktitle = {Mathematical Methods in Economics 2005},
keywords = {method of moments; closed economy model; calibration; VAR model; Hodrick-Prescott filter; Schur decomposition},
language = {eng},
location = {Hradec Králové},
isbn = {80-7041-535-5},
pages = {128-133},
publisher = {Gaudeamus, University of Hradec Králové},
title = {Quantitative analysis of economy model using method of moments},
year = {2005}
}
TY - JOUR
ID - 588922
AU - Hloušek, Miroslav
PY - 2005
TI - Quantitative analysis of economy model using method of moments
PB - Gaudeamus, University of Hradec Králové
CY - Hradec Králové
SN - 8070415355
KW - method of moments
KW - closed economy model
KW - calibration
KW - VAR model
KW - Hodrick-Prescott filter
KW - Schur decomposition
N2 - This paper deals with calibration of economy model using method of moments. Real data of United States are used. The time series are decomposed into the trend and the cycle component using Hodrick-Prescott filter. Estimation of the historical standard deviations and autocorrelations is made. The model equations are converted into reduced form of VAR model. The properties of the model in terms of moments are computed. The parameters are properly set to replicate the moments in data. The results is demonstrated on behavior of the model using impulse responses.
ER -
HLOUŠEK, Miroslav. Quantitative analysis of economy model using method of moments. In \textit{Mathematical Methods in Economics 2005}. Hradec Králové: Gaudeamus, University of Hradec Králové, 2005, s.~128-133. ISBN~80-7041-535-5.
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