English, Article, Journal or magazine article edition: A Method for Taking Models to the Data Peter N. Ireland

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Bookmark: http://trove.nla.gov.au/version/73979
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Method for Taking Models to the Data
Author
  • Peter N. Ireland
Physical Description
  • preprint
Notes
  • Econometric models ; Business cycles
  • RePEc:fip:fedcwp:9903
  • This paper develops a method for combining the power of a dynamic, stochastic, general equilibrium model with the flexibility of a vector autoregressive time-series model to obtain a hybrid that can be taken directly to the data. It estimates this hybrid model via maximum likelihood and uses the results to address a number of issues concerning the ability of a prototypical real business cycle model to explain movements in aggregate output and employment in the postwar US economy, the stability of the real business cycle model's structural parameters, and the performance of the hybrid model's out-of-sample forecasts.
  • Real Business Cycles, Technology Shocks, Hybrid Models
  • RePEc:boc:bocoec:421
Language
  • English
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