Publication details
DSGE model with nominal rigidities: estimation and assessing of fit
| Authors | |
|---|---|
| Year of publication | 2008 |
| Type | Article in Periodical |
| Magazine / Source | Bulletin of the Czech Econometric Society |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | DSGE mode; open economy; nominal rigidities; Bayesian estimation; maximum likelihood; data fit |
| Description | This paper deals with estimation of DSGE model of open economy with nominal rigidities and assessing of its data fit. The model is estimated using Bayesian techniques on data of Czech economy. Estimated values of structural parameters are economically interpreted. Assessing of model fit to data is carried out along several dimensions. Firstly, the fitted series are compared with observed series. Secondly, the volatility and the autocorrelations implied by the model are compared with the statistics calculated from the data. And thirdly, estimated unobserved shocks give picture of important events in the Czech economy. Despite few failures, overall fit of the model to the data can be considered as satisfactory. |
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