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贝叶斯 DSGE 模型的识别问题AI 解读

This article is concerned with local identification of individual parameters of dynamic stochastic general equilibrium (DSGE) models estimated by Bayesian methods. Identification is often judged by a comparison of the posterior distribution of a parameter with its prior. However, these can differ even when the parameter is not identified. Instead, we propose two Bayesian indicators of identification. The first follows a suggestion by Poirier of comparing the posterior…

动态异质面板的混合均值组估计AI 解读

It is now quite common to have panels in which both T, the number of time series observations, and N, the number of groups, are quite large and of the same order of magnitude. The usual practice is either to estimate N separate regressions and calculate the coefficient means, which we call the mean group (MG) estimator, or to pool the data and assume that the slope coefficients and error variances are identical. In this article we propose an intermediate procedure, the…