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- W2407340484 abstract "DSGE models often contain variables for which data is not observedwhen estimating. Although DSGE models generally implythat there is a finite order SVAR in all the variables this may nolonger be true for SVARs just in observable variables, and so there isa VAR-truncation problem. The paper examines this issue. It looksat five different studies using DSGE models that appear in the literature.Generally it emerges that the truncation issue is probably notthat important, except possibly in small open economy models withexternal debt. Even when there is no truncation problem in VARs(which control the dynamics) the structural impulse responses fromboth models may be different due to differing initial responses. It isshown that DSGE models incorporate some strong restrictions on thenature of SVAR models and these would need to employed for the twoapproaches to give the same initial estimates." @default.
- W2407340484 created "2016-06-24" @default.
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- W2407340484 date "2016-05-19" @default.
- W2407340484 modified "2023-09-27" @default.
- W2407340484 title "Investigating the Relationship Between DSGE and SVAR Models" @default.
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