estimated standard deviation
Posted:
Mon Jun 15, 2015 3:41 amby Ravelomanana
I estimated a loglinearized DSGE model for a small open economy and I found that one of the estimated value of the standard error of shocks exceeds 1 (1.51)?
What would be the explanation of that?
best
Re: estimated standard deviation
Posted:
Mon Jun 15, 2015 5:04 amby jpfeifer
It most probably means you scaled your data with 100. See "Remark 10 (Scaling With a Factor 100)" in Pfeifer (2013): "A Guide to Specifying Observation Equations for the
Estimation of DSGE Models" at
https://sites.google.com/site/pfeiferecon/Pfeifer_2013_Observation_Equations.pdf
Re: estimated standard deviation
Posted:
Mon Jun 15, 2015 7:17 amby Ravelomanana
Does this follow the same scaling rule for the impulse response function?