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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. p.~128-133. ISBN~80-7041-535-5. 2005.
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