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Table Of Contents

Introduction
1.1 Methods of the Cowles Commission
1.1.1 Problems with identification
1.2 LSE and VAR models
1.2.1 LSE methodology
1.2.2 VAR methodology
1.3 Methodology of modern macroeconomics
1.3.1 Real Business Cycle theory
1.3.2 Frictionless economy
1.3.3 Representative household
1.3.4 Representative firm
1.3.5 General equilibrium
1.3.6 Consequences for monetary policy
1.4 New neoclassical synthesis
1.4.1 Standard new-Keynesian model
1.4.2 Representative household
1.4.3 Firms
1.4.4 General equilibrium
1.4.5 Consequences for monetary policy
DSGE model — anatomy
2.1 Values of parameters
2.1.1 Calibration
2.1.2 Maximum likelihood estimation
2.1.3 Bayesian estimation
2.2 Kalman filter
2.3 Metropolis-Hastings algorithm
2.4 Model selection
2.5 Applications
2.5.1 Structural shocks identification
2.5.2 Impulse response analysis
2.5.3 Variance decomposition
2.5.4 Unconditional forecasts
Specification of DSGESOEPL−2009
3.3 Basic features ofSOEPL−2009
model
4.1 Growth
4.2 Foreign economy
4.3 Producers
4.3.1 Aggregators
4.3.2 Domestic intermediate goods firms
4.3.3 Importers
4.3.4 Exporters
4.4 Households
4.5 Behaviour of other agents
4.5.1 Central bank
4.5.2 Government
4.6 Macroeconomic balance conditions
4.6.1 Profits in economy
4.6.2 Income and expenditures of households
4.6.3 State budget
4.6.4 Monetary balance
4.6.5 Balance of payment
4.6.6 The aggregate resource constraint
5.2 Observable variables, data
5.3 SVAR models
5.3.1 Fiscal SVAR
5.3.2 World’s economy SVAR
6.1 Calibration of parameters
6.2 Prior distributions and results of estimation
6.3 Assessment of parameters — conclusions
6.3.1 Steady state
6.3.2 Structural changes
6.3.3 Nominal rigidities
7.1 Variance decompositions
7.1.1 Regime I
7.1.2 Regime II
7.2 Impulse response functions
7.3 Smoothing — estimation of structural disturbances
Historical decompositions and
8.1 Historical decompositions
8.2 Forecasting technique
8.3 Ex-post forecasting accuracy of theSOEPL−2009
8.3.1 One-dimensional measures of forecasting quality
8.3.2 Multidimensional measures of forecasting accuracy
8.3.3 Rolling forecasts
Final comments
List of equations, list of variables
Forms of the model
A3. List of equations of the structural form of the model
Steady state solution
Global economy SVAR model
SVAR model identification
Results of estimation of the SVAR model
Convergence to the steady state
Analysis of forecasts accuracy
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An Estimated Dynamic Stochastic General Equilibrium Model for Policy Analysis and Forecasting

An Estimated Dynamic Stochastic General Equilibrium Model for Policy Analysis and Forecasting

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Published by: mirovukoje on Jul 13, 2012
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