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.

Angelini G., Gorgi P. (2018). DSGE Models with observation-driven time-varying volatility. ECONOMICS LETTERS, 171, 169-171 [10.1016/j.econlet.2018.07.023].

DSGE Models with observation-driven time-varying volatility

Angelini G.
;
2018

Abstract

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.
2018
Angelini G., Gorgi P. (2018). DSGE Models with observation-driven time-varying volatility. ECONOMICS LETTERS, 171, 169-171 [10.1016/j.econlet.2018.07.023].
Angelini G.; Gorgi P.
File in questo prodotto:
Eventuali allegati, non sono esposti

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/725503
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 4
  • ???jsp.display-item.citation.isi??? 4
social impact