Quantitative analysis of economy model using method of moments
| Authors | |
|---|---|
| Year of publication | 2005 |
| Type | Article in Proceedings |
| Conference | Mathematical Methods in Economics 2005 |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | method of moments; closed economy model; calibration; VAR model; Hodrick-Prescott filter; Schur decomposition |
| Description | This paper deals with calibration of economy model using method of moments. Real data of United States are used. The time series are decomposed into the trend and the cycle component using Hodrick-Prescott filter. Estimation of the historical standard deviations and autocorrelations is made. The model equations are converted into reduced form of VAR model. The properties of the model in terms of moments are computed. The parameters are properly set to replicate the moments in data. The results is demonstrated on behavior of the model using impulse responses. |
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