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

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)
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)
E31, E32, E52Journal of Economics Literature Classification
Keywords:DSGE, EMU, Monetary Policy, Structural Breaks
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:21427

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