How much structure in empirical models?
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- dc.contributor.author Canova, Fabioca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T12:07:55Z
- dc.date.available 2017-07-26T12:07:55Z
- dc.date.issued 2007-10-01
- dc.date.modified 2017-07-23T02:11:27Z
- dc.description.abstract This chapter highlights the problems that structural methods and SVAR approaches have when estimating DSGE models and examining their ability to capture important features of the data. We show that structural methods are subject to severe identification problems due, in large part, to the nature of DSGE models. The problems can be patched up in a number of ways but solved only if DSGEs are completely reparametrized or respecified. The potential misspecification of the structural relationships give Bayesian methods an hedge over classical ones in structural estimation. SVAR approaches may face invertibility problems but simple diagnostics can help to detect and remedy these problems. A pragmatic empirical approach ought to use the flexibility of SVARs against potential misspecification of the structural relationships but must firmly tie SVARs to the class of DSGE models which could have have generated the data.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1054
- dc.identifier.citation Palgrave Handbook of Applied Econometrics, forthcoming
- dc.identifier.uri http://hdl.handle.net/10230/1061
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1054
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword dsge models
- dc.subject.keyword svar models
- dc.subject.keyword identification
- dc.subject.keyword invertibility
- dc.subject.keyword misspecification
- dc.subject.keyword small samples.
- dc.subject.keyword Macroeconomics and International Economics
- dc.title How much structure in empirical models?ca
- dc.type info:eu-repo/semantics/workingPaper