Estimating Nonlinear Approximation of DSGE Models: the Case of Czech Economy

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F10%3A00044813" target="_blank" >RIV/00216224:14560/10:00044813 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Estimating Nonlinear Approximation of DSGE Models: the Case of Czech Economy
Original language description
The aim of this paper is to estimate nonlinear approximation of a New Keynesian DSGE model of Czech economy and to compare the results with the results obtained from standard estimation procedure which uses (log)linear approximation of the model. Severalauthors, e.g. An and Schorfheide (2006), Fernandez-Villaverde and Rubio-Ramirez (2005), have used baseline models and/or simulated data to show that the nonlinear approach provides more accurate estimates and better data fit. In our application we use slightly modified Liu's (2005) open economy model. We solve the model for second-order approximation and estimate it by Bayesian techniques, particularly evaluate its likelihood function with particle filter. For computations we employed standard Matlab functions and also developed our own procedures.
Czech name
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Czech description
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Project
<a href="/en/project/1M0524" target="_blank" >1M0524: Research center on competitiveness of Czech economy</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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