HLOUŠEK, Miroslav. DSGE model with nominal rigidities: estimation and assessing of fit. Bulletin of the Czech Econometric Society, Czech Econometric Society, 2008, vol. 15, No 25, p. 57-68. ISSN 1212-074X.
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Basic information
Original name DSGE model with nominal rigidities: estimation and assessing of fit
Name in Czech DSGE model s nominálními rigiditami: odhad a posouzení modelu na datech
Authors HLOUŠEK, Miroslav (203 Czech Republic, guarantor).
Edition Bulletin of the Czech Econometric Society, Czech Econometric Society, 2008, 1212-074X.
Other information
Original language English
Type of outcome article in a journal
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/00216224:14560/08:00026756
Organization unit Faculty of Economics and Administration
Keywords in English DSGE mode; open economy; nominal rigidities; Bayesian estimation; maximum likelihood; data fit
Tags Bayesian estimation, data fit, DSGE mode, maximum likelihood, nominal rigidities, open economy
Tags International impact, Reviewed
Changed by Changed by: Ing. Miroslav Hloušek, Ph.D., učo 21886. Changed: 13/1/2009 09:48.
Abstract
This paper deals with estimation of DSGE model of open economy with nominal rigidities and assessing of its data fit. The model is estimated using Bayesian techniques on data of Czech economy. Estimated values of structural parameters are economically interpreted. Assessing of model fit to data is carried out along several dimensions. Firstly, the fitted series are compared with observed series. Secondly, the volatility and the autocorrelations implied by the model are compared with the statistics calculated from the data. And thirdly, estimated unobserved shocks give picture of important events in the Czech economy. Despite few failures, overall fit of the model to the data can be considered as satisfactory.
Abstract (in Czech)
Článek se zabývá odhadem DSGE modelu otevřené ekonomiky s nominálními rigiditami a jeho posouzením na datech. Model je odhadnut pomocí Baysovských technik na datech České ekonomiky. Odhadnuté hodnoty strukturálních parametrů jsou ekonomicky interpretovány. Posouzení souladu modelu s daty je provedeno několika způsoby. Zaprvé, vyrovnané hodnoty jsou porovnány se skutečnými daty. Zadruhé, volatilita a autokorelace implikované modelem jsou porovnány se statistikami získanými z dat. A zatřetí, odhadnuté nepozorované šoky vystihují důležité události v české ekonomice. Navzdory několika selháním modelu může být celkový soulad daty považován za uspokojivý.
Links
1M0524, research and development projectName: Centrum výzkumu konkurenční schopnosti české ekonomiky
Investor: Ministry of Education, Youth and Sports of the CR, Research Centres (National Research Programme)
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