Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
2012-03-20
Research Paper
pp 1-50.
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The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date and a range of lags and deterministic processes. We find support for a number of features implied by the economic model and the evidence suggests a break in the entire model structure around 1984 after which technology shocks appear to account for all stochastic trends. Business cycle volatility seems more due to investment specific technology shocks than neutral technology shocks.
Keywords
- cointegration
- impulse response
- Posterior probability
- Dynamic stochastic general equilibrium model
- Model averaging
- Stochastic trend
- Vector autoregressive model
Classifications using
Journal of Economic Literature (JEL) Classification System
- C52 : Model Evaluation and Testing
- C32 : Time-Series Models; Dynamic Quantile Regressions
- C11 : Bayesian Analysis
Automatically Extracted Terms
- model
- shock
- technology
- technology shocks
- response
- investment
- trend
- probability
- feature
- speci
- paper
- evidence
- fisher
- result
- restriction
- cycle
- bayesian
- business
- parameter
- estimate
