stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Added references for DSGE-VAR model. Fixed reference for Abramovitz and Stegun.

time-shift
Stéphane Adjemian (Charybdis) 2013-11-17 13:26:12 +01:00
parent 823ed85e8d
commit 09eb9a256a
1 changed files with 24 additions and 16 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

40
doc/dynare.texi
View File

@ -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} @code{irf} option. Results are stored in @code{oo_.PosteriorIRF.dsge}
(see below for a description of this variable) (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} @item dsge_var = @var{DOUBLE}
@anchor{dsge_var} @anchor{dsge_var} Triggers the estimation of a DSGE-VAR model, where the
Triggers the estimation of a DSGE-VAR model, where the weight of the weight of the DSGE prior of the VAR model is calibrated to the value
DSGE prior of the VAR model is calibrated to the value passed. NB: The passed (see @cite{Del Negro and Schorfheide (2004)}). NB: The previous method
previous method of declaring @code{dsge_prior_weight} as a parameter of declaring @code{dsge_prior_weight} as a parameter and then
and then calibrating it is now deprecated and will be removed in a calibrating it is now deprecated and will be removed in a future release
future release of Dynare. 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} @item dsge_varlag = @var{INTEGER}
@anchor{dsge_varlag} The number of lags used to estimate a DSGE-VAR @anchor{dsge_varlag} The number of lags used to estimate a DSGE-VAR
@ -10576,7 +10576,11 @@ internals --test particle/local_state_iteration
@itemize @itemize
@item @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 @item
Aguiar, Mark and Gopinath, Gita (2004): ``Emerging Market Business 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), economy model,'' @i{Journal of Economic Dynamics and Control}, 35(12),
1999--2041 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 @item
Dennis, Richard (2007): ``Optimal Policy In Rational Expectations Dennis, Richard (2007): ``Optimal Policy In Rational Expectations
Models: New Solution Algorithms,'' @i{Macroeconomic Dynamics}, 11(1), Models: New Solution Algorithms,'' @i{Macroeconomic Dynamics}, 11(1),