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Estimation of Nonlinear DSGE Models Through Laplace Based Solutions
https://doi.org/10.24545/0002000100
https://doi.org/10.24545/0002000100dc25e795-aaa0-4555-aa43-942d924a4172
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP24-6.pdf
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| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2024-07-16 | |||||||||
| タイトル | ||||||||||
| タイトル | Estimation of Nonlinear DSGE Models Through Laplace Based Solutions | |||||||||
| 言語 | en | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Economic Uncertainty | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Time-Varying Volatility | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Risk-Premium | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Higher-Order Approximation | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ | technical report | |||||||||
| ID登録 | ||||||||||
| ID登録 (DOI) | 10.24545/0002000100 | |||||||||
| ID登録タイプ | JaLC | |||||||||
| 著者 |
BAIAMAN KYZY, Elnura
× BAIAMAN KYZY, Elnura
× LEON-GONZALEZ, Roberto
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| 著者所属 | ||||||||||
| 値 | Hitotsubashi Institute for Advanced Study (HIAS), Hitotsubashi University | |||||||||
| 著者所属 | ||||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||||||
| 抄録 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | This paper proposes a novel Laplace based solution to nonlinear DSGE models that has a closed form likelihood. We implicitly use a nonlinear approximation to the policy function that is invertible with respect to the shocks, implying that in the approximation the shocks can be recovered uniquely from some of the control variables. Using perturbation methods and a Lagrange inversion formula we are able to calculate the derivatives of the likelihood and construct the Laplace based solution. In contrast with previous likelihood-based approaches, the method used here requires neither the introduction of linear shocks nor simulation to evaluate the likelihood. Using US data we estimate linear and nonlinear variants of a well-known neoclassical growth model with and without time-varying variances. We find that a nonlinear heteroscedastic model has a much better empirical performance. Furthermore, our models allow us to ascertain that the monetary policy shock causes 95% of the time changes in economic uncertainty. | |||||||||
| 言語 | en | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | JEL Classification Codes: E0, C63 | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | We also acknowledge financial support from the Japan Society for the Promotion of Science (19K01588) and from GRIPS Policy Research Center (P223RP214). | |||||||||
| 発行年 | ||||||||||
| 値 | 2024-07 | |||||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. 24-6, 発行日 2024-07-16 |
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| 出版者 | ||||||||||
| 出版者 | GRIPS Policy Research Center | |||||||||
| 言語 | en | |||||||||
| 著者情報 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | https://www.grips.ac.jp/list/facultyinfo/leon_gonzalez_roberto/ | |||||||||
| 著者版フラグ | ||||||||||
| 出版タイプ | AM | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||||
