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Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain

URN to cite this document:
urn:nbn:de:bvb:355-epub-200601
Jerger, Jürgen ; Röhe, Oke
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Date of publication of this fulltext: 09 Mar 2011 08:00


Abstract

We estimate a New Keynesian DSGE model on French, German and Spanish data. The main aim of this paper is to check for the respective sets of parameters that are stable over time, making use of the ESS procedure ( ”Estimate of Set of Stable parameters“) developed by Inoue and Rossi (2011). This new econometric technique allows to address the stability properties of each single parameter in a DSGE ...

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