From 09eb9a256a27243a5cc58461095f08e8f5548e30 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Charybdis=29?= Date: Sun, 17 Nov 2013 13:26:12 +0100 Subject: [PATCH] Added references for DSGE-VAR model. Fixed reference for Abramovitz and Stegun. --- doc/dynare.texi | 40 ++++++++++++++++++++++++---------------- 1 file changed, 24 insertions(+), 16 deletions(-) diff --git a/doc/dynare.texi b/doc/dynare.texi index 10524f715..abbee4291 100644 --- a/doc/dynare.texi +++ b/doc/dynare.texi @@ -4752,22 +4752,22 @@ distribution of IRFs. The length of the IRFs are controlled by the @code{irf} option. Results are stored in @code{oo_.PosteriorIRF.dsge} (see below for a description of this variable) -@item dsge_var -Triggers the estimation of a DSGE-VAR model, where the weight of the -DSGE prior of the VAR model will be estimated. The prior on the -weight of the DSGE prior, @code{dsge_prior_weight}, must be defined in -the @code{estimated_params} section. NB: The previous method of -declaring @code{dsge_prior_weight} as a parameter and then placing it -in @code{estimated_params} is now deprecated and will be removed in a -future release of Dynare. - @item dsge_var = @var{DOUBLE} -@anchor{dsge_var} -Triggers the estimation of a DSGE-VAR model, where the weight of the -DSGE prior of the VAR model is calibrated to the value passed. NB: The -previous method of declaring @code{dsge_prior_weight} as a parameter -and then calibrating it is now deprecated and will be removed in a -future release of Dynare. +@anchor{dsge_var} Triggers the estimation of a DSGE-VAR model, where the +weight of the DSGE prior of the VAR model is calibrated to the value +passed (see @cite{Del Negro and Schorfheide (2004)}). NB: The previous method +of declaring @code{dsge_prior_weight} as a parameter and then +calibrating it is now deprecated and will be removed in a future release +of Dynare. + +@item dsge_var +Triggers the estimation of a DSGE-VAR model, where the weight of the +DSGE prior of the VAR model will be estimated (as in @cite{Adjemian et alii +(2008)}). The prior on the weight of the DSGE prior, +@code{dsge_prior_weight}, must be defined in the @code{estimated_params} +section. NB: The previous method of declaring @code{dsge_prior_weight} +as a parameter and then placing it in @code{estimated_params} is now +deprecated and will be removed in a future release of Dynare. @item dsge_varlag = @var{INTEGER} @anchor{dsge_varlag} The number of lags used to estimate a DSGE-VAR @@ -10576,7 +10576,11 @@ internals --test particle/local_state_iteration @itemize @item -Milton Abramowitz, Irene A. Stegun (1964): ``Handbook of Mathematical Functions'', Courier Dover Publications +Abramowitz, Milton and Irene A. Stegun (1964): ``Handbook of Mathematical Functions'', Courier Dover Publications + +@item +Adjemian, Stéphane, Matthieu Darracq Parriès and Stéphane Moyen (2008): ``Towards a monetary policy evaluation framework'', +@i{European Central Bank Working Paper}, 942 @item Aguiar, Mark and Gopinath, Gita (2004): ``Emerging Market Business @@ -10624,6 +10628,10 @@ Christiano, Lawrence J., Mathias Trabandt and Karl Walentin (2011): economy model,'' @i{Journal of Economic Dynamics and Control}, 35(12), 1999--2041 +@item +Del Negro, Marco and Franck Schorfheide (2004): ``Priors from General Equilibrium Models for VARS'', +@i{International Economic Review}, 45(2), 643--673 + @item Dennis, Richard (2007): ``Optimal Policy In Rational Expectations Models: New Solution Algorithms,'' @i{Macroeconomic Dynamics}, 11(1),