DSGE Models with observation-driven time-varying volatility

被引：4
|
作者：
Angelini, Giovanni [1 ]
Gorgi, Paolo [2 ]
机构：
[1] Univ Bologna, Dept Econ, Bologna, Italy
[2] Vrije Univ Amsterdam, Dept Econometr & Operat Res, Amsterdam, Netherlands
来源：
ECONOMICS LETTERS | 2018年 / 171卷
关键词：
DSGE models; Score-driven models; Time-varying parameters;
D O I：
10.1016/j.econlet.2018.07.023
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper proposes a novel approach to introduce time-variation in the variances of the structural shocks of DSGE models. The variances are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE model can be easily performed by maximum likelihood without the need of time-consuming simulation-based methods. An empirical application to a DSGE model with time-varying volatility for structural shocks shows a significant improvement in the accuracy of density forecasts. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：169 / 171
页数：3
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