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Evidence on Features of a DSGE Business Cycle model from Bayesian Model Averaging

Strachan, Rodney; van Dijk, Herman


The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is evaluated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date, and a range of lags and deterministic processes. We find support for a number of features implied by the economic model, and the evidence suggests a break in the entire model structure around 1984, after...[Show more]

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
Source: International Economic Review
DOI: 10.1111/j.1468-2354.2012.00737.x


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