Dear Professor Pfeifer, Thank you for reading this post. I have got some questions when dealing with the DSGE model. Would you please give any advice ? Thank you so much. (1) When I calibrate the parameters using actual data, do I need to choose a longer data series ? For instance, I use the mean…

Questions on parameter estimation

jpfeifer 27 February 2021 09:27 6

For example

Can I ignore variance structural breaks in my data for DSGE model estimation? ML/Bayesian estimation

Short version: Is there a post-estimation structural break test for DSGE models for checking the stability of the estimated parameters? Or all structural break tests should be done outside of the DSGE model pre-estimation? Not sure though if structural breaks in one or more variables even always cause problems for DSGE model estimation. Long version: I have a variance structural break in my data for real GDP per capita y_t (which is statistically confirmed by a CUSUM square test using the fol…

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