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

Strachan, Rodney; van Dijk, Herman

Description

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]

dc.contributor.authorStrachan, Rodney
dc.contributor.authorvan Dijk, Herman
dc.date.accessioned2015-12-08T22:46:21Z
dc.identifier.issn0020-6598
dc.identifier.urihttp://hdl.handle.net/1885/38114
dc.description.abstractThe 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 which technology shocks appear to account for all stochastic trends. Business cycle volatility seems more due to investment-specific technology shocks than neutral technology shocks.
dc.publisherBlackwell Publishing Ltd
dc.sourceInternational Economic Review
dc.titleEvidence on Features of a DSGE Business Cycle model from Bayesian Model Averaging
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume54
dc.date.issued2013
local.identifier.absfor140302 - Econometric and Statistical Methods
local.identifier.absfor140305 - Time-Series Analysis
local.identifier.absfor140212 - Macroeconomics (incl. Monetary and Fiscal Theory)
local.identifier.ariespublicationU9501697xPUB157
local.type.statusPublished Version
local.contributor.affiliationStrachan, Rodney, College of Business and Economics, ANU
local.contributor.affiliationvan Dijk, Herman, Erasmus University Rotterdam
local.description.embargo2037-12-31
local.bibliographicCitation.issue1
local.bibliographicCitation.startpage385
local.bibliographicCitation.lastpage402
local.identifier.doi10.1111/j.1468-2354.2012.00737.x
local.identifier.absseo910103 - Economic Growth
local.identifier.absseo910199 - Macroeconomics not elsewhere classified
dc.date.updated2015-12-08T11:00:46Z
local.identifier.scopusID2-s2.0-84872808264
local.identifier.thomsonID000313987000014
CollectionsANU Research Publications

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