Sensitivity analysis of a DSGE model with time-varying parameters identified by a nonlinear particle filter
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00083813" target="_blank" >RIV/00216224:14560/15:00083813 - isvavai.cz</a>
Result on the web
<a href="http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf" target="_blank" >http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Sensitivity analysis of a DSGE model with time-varying parameters identified by a nonlinear particle filter
Original language description
In this paper, we assess the robustness of the time-varying parameter estimates of a dynamic stochastic model of a small open economy general equilibrium with financial frictions that were obtained with the use of a nonlinear particle filter. First, we assess the sensitivity to the selection of the subset of model parameters that are assumed to be time-varying. For that purpose, the model is estimated in three different configurations of the time-varying and constant parameters. Second, we examine the sensitivity of the time-varying estimates with respect to the calibration of the initial value of the adhesion parameter. The value of a time-varying parameter is given by the model law of motion as a weighted average of the last known value of the parameter and its initial value plus stochastic innovation. The weights are determined by the adhesion parameter that is common for all the time-varying parameters.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
33rd International Conference Mathematical Methods in Economics Conference Proceedings
ISBN
9788026105398
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
841-846
Publisher name
University of West Bohemia
Place of publication
Plzeň
Event location
Cheb
Event date
Jan 1, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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