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DSGE Models with Observation-Driven Time-Varying Parameters

Giovanni Angelini

出版	SSRN, 2018
URL	http://books.google.com.hk/books?id=rfP-zgEACAAJ&hl=&source=gbs_api

註釋

This paper proposes a novel approach to introduce time-variation in structural parameters of DSGE models. Structural parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE model can be easily performed by maximum likelihood without the need of time-consuming simulation-based methods. An application to a DSGE model with time varying volatility for structural shocks is presented. The results indicate a significant improvement in forecasting performance.