This paper proposes the estimation of small-scale dynamic stochastic general equilibrium (DSGE) monetary models under the quasi-rational expectations (QRE) hypothesis. The QRE-DSGE model is based on the idea that the determinate reduced form solution associated with the structural model, if it exists, must have the same lag structure as the ‘best fitting’ vector autoregressive (VAR) model for the observed time series.

FANELLI L. (2009). Estimation of Quasi-Rational DSGE Monetary Models. BOLOGNA : Serie Ricerche 2009/3.

Estimation of Quasi-Rational DSGE Monetary Models

FANELLI, LUCA
2009

Abstract

This paper proposes the estimation of small-scale dynamic stochastic general equilibrium (DSGE) monetary models under the quasi-rational expectations (QRE) hypothesis. The QRE-DSGE model is based on the idea that the determinate reduced form solution associated with the structural model, if it exists, must have the same lag structure as the ‘best fitting’ vector autoregressive (VAR) model for the observed time series.
2009
37
FANELLI L. (2009). Estimation of Quasi-Rational DSGE Monetary Models. BOLOGNA : Serie Ricerche 2009/3.
FANELLI L.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/120806
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