Jerger, Jürgen and Röhe, Oke (2009) Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 453, Working Paper.
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Abstract (English)
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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Item type: | Monograph (Working Paper) | ||||
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Series of the University of Regensburg: | Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft | ||||
Date: | 1 October 2009 | ||||
Institutions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Internationale und Monetäre Ökonomik (Prof. Dr. Jürgen Jerger) | ||||
Classification: |
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Keywords: | DSGE, EMU, Monetary Policy, Structural Breaks | ||||
Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||
Status: | Published | ||||
Refereed: | No, this document will not be refereed | ||||
Created at the University of Regensburg: | Yes | ||||
Item ID: | 21427 |
Available versions of this item
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The Macroeconomic Consequences of EMU: International Evidence from a DSGE Model. (Deposited on 02 Oct 2009 11:02)
- Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain. (Deposited on 05 Jul 2011 12:08) [Currently displayed]