a question about estimating DSGE model with Bayesian method

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a question about estimating DSGE model with Bayesian method

Postby bowencheng » Fri Jul 07, 2017 2:29 pm

hi!
I saw many papers compare the actual and the fitted data ,like CMR 2009 "financial factor in economic fluctuation" ,it says"the similarity between raw data and the model predicted in data in figure 3a and 3b suggests that we have a nearly exact linear decomposition of the historical data into economic shocks "
I want to know how does the author plot this kind of graph ,a command in dynare? and what the meaning of doing this? thank you so much!
bowencheng
 
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Joined: Sat May 27, 2017 5:52 am

Re: a question about estimating DSGE model with Bayesian met

Postby jpfeifer » Fri Jul 07, 2017 4:17 pm

The Kalman smoother decomposes the observables exactly into the structural shocks. That is what the
Code: Select all
shock_decomposition
command does. What is different in CMR 2009 is the presence of measurement error. This drives a wedge between the observed data and the one implied by the structural shocks.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Re: a question about estimating DSGE model with Bayesian met

Postby bowencheng » Sat Jul 08, 2017 2:18 am

jpfeifer wrote:The Kalman smoother decomposes the observables exactly into the structural shocks. That is what the
Code: Select all
shock_decomposition
command does. What is different in CMR 2009 is the presence of measurement error. This drives a wedge between the observed data and the one implied by the structural shocks.
bowencheng
 
Posts: 10
Joined: Sat May 27, 2017 5:52 am

Re: a question about estimating DSGE model with Bayesian met

Postby bowencheng » Sat Jul 08, 2017 4:05 am

thanks!it's really helpful .and I want to learn the analyzation of the dsge model after bayesian estimation ,like model fit and things most researchers will do .can you recommend some materials for me to learn? thanks !
bowencheng
 
Posts: 10
Joined: Sat May 27, 2017 5:52 am

Re: a question about estimating DSGE model with Bayesian met

Postby jpfeifer » Mon Jul 10, 2017 2:21 pm

Unfortunately, there is no good textbook on this. You should check the mode_check-plots, the MCMC convergence diagnostics, the parameter trace_plots, and the output graphs from the Kalman smoother.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany


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