TY  - UNPD
A1  - Meyer-Gohde, Alexander
A1  - Neuhoff, Daniel
T1  - Generalized exogenous processes in DSGE: a Bayesian approach
T2  - Working paper series / Institute for Monetary and Financial Stability ; 125
N2  - The authors relax the standard assumption in the dynamic stochastic general equilibrium (DSGE) literature that exogenous processes are governed by AR(1) processes and estimate ARMA (p,q) orders and parameters of exogenous processes. Methodologically, they contribute to the Bayesian DSGE literature by using Reversible Jump Markov Chain Monte Carlo (RJMCMC) to sample from the unknown ARMA orders and their associated parameter spaces of varying dimensions.
In estimating the technology process in the neoclassical growth model using post war US GDP data, they cast considerable doubt on the standard AR(1) assumption in favor of higher order processes. They find that the posterior concentrates density on hump-shaped impulse responses for all endogenous variables, consistent with alternative empirical estimates and the rigidities behind many richer structural models. Sampling from noninvertible MA representations, a negative response of hours to a positive technology shock is contained within the posterior credible set. While the posterior contains significant uncertainty regarding the exact order, the results are insensitive to the choice of data filter; this contrasts with the authors’ ARMA estimates of GDP itself, which vary significantly depending on the choice of HP or first difference filter.
T3  - Working paper series / Institute for Monetary and Financial Stability - 125 
KW  - Bayesian analysis
KW  - Dynamic stochastic general equilibrium model
KW  - Model evaluation
KW  - ARMA
KW  - Reversible Jump Markov Chain Monte Carlo
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/47599
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-475999
UR  - https://www.imfs-frankfurt.de/de/forschung/imfs-working-papers/
IS  - This Version: September 24, 2018
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -