HLOUŠEK, Miroslav. Quantitative analysis of economy model using method of moments. In Mathematical Methods in Economics 2005. Hradec Králové: Gaudeamus, University of Hradec Králové, 2005. p. 128-133, 6 pp. ISBN 80-7041-535-5.
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Basic information
Original name Quantitative analysis of economy model using method of moments
Name in Czech Kvantitativní analýza modelu ekonomiky pomocí metody momentů
Authors HLOUŠEK, Miroslav (203 Czech Republic, guarantor).
Edition Hradec Králové, Mathematical Methods in Economics 2005, p. 128-133, 6 pp. 2005.
Publisher Gaudeamus, University of Hradec Králové
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 5.2 Economics and Business
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
RIV identification code RIV/00216224:14560/05:00012758
Organization unit Faculty of Economics and Administration
ISBN 80-7041-535-5
UT WoS 000260962400020
Keywords in English method of moments; closed economy model; calibration; VAR model; Hodrick-Prescott filter; Schur decomposition
Tags calibration, closed economy model, Hodrick-Prescott filter, method of moments, Schur decomposition, VAR model
Changed by Changed by: Ing. Miroslav Hloušek, Ph.D., učo 21886. Changed: 8/9/2009 11:09.
Abstract
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.
Abstract (in Czech)
Tento článek se zabývá kalibrací modelu ekonomiky pomocí metody momentů. Jsou použita reálná data Spojených států. Časové řady jsou dekomponovány na trendovou a cyklickou složku pomocí Hodrick-Prescottova filtru. Jsou odhadnuty směrodatné odchylky a autokorelace v datech. Modelové rovnice jsou převedeny do redukované formy VAR modelu. Jsou vypočítány momentové vlastnosti modelu. Parametry jsou nastaveny tak, aby modelové momenty kopírovali momenty v datech. Výsledky jsou ilustrovány na chování modelu pomocí impulsních odezev.
Links
GA402/05/2172, research and development projectName: Měnová politika a makroekonomická stabilizace : identifikace a aplikace modelů všeobecné rovnováhy
Investor: Czech Science Foundation, Standard Projects
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