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- Publisher
- Springer Journals
- Copyright
- Copyright © 2007 by Springer Science+Business Media, LLC
- Subject
- Economics; Economic Theory/Quantitative Economics/Mathematical Methods; Computer Appl. in Social and Behavioral Sciences; Operation Research/Decision Theory; Behavioral/Experimental Economics; Math Applications in Computer Science
- ISSN
- 0927-7099
- eISSN
- 1572-9974
- DOI
- 10.1007/s10614-007-9110-6
- Publisher site
- See Article on Publisher Site
Abstract
We present computational tools to analyse some key properties of DSGE models and address the following questions: (i) Which is the domain of structural coefficients assuring the stability and determinacy of a DSGE model? (ii) Which parameters mostly drive the fit of, e.g., GDP and which the fit of inflation? Is there any conflict between the optimal fit of one observed series versus another one? (iii) How to represent in a direct, albeit approximated, form the relationship between structural parameters and the reduced form of a rational expectations model? Global sensitivity analysis (GSA) techniques are used to answer these questions. We will discuss two classes of methods: Monte Carlo filtering (MCF) techniques and functional/variance decomposition techniques. These tools can make the model properties more transparent; helping the analyst to identify critical elements in the specification and, if necessary, guiding her to revise the model; supporting calibration and estimation procedures and interpreting estimation results. Applications to small DSGE models will complete the description of the methodologies.
Journal
Computational Economics – Springer Journals
Published: Sep 8, 2007