Selecting structural innovations in DSGE models
研究了DSGE模型中估计不存在的结构性冲击会导致模型内部持续性估计向下偏误，提出通过使用标准差先验（支持包含零）来准确选择冲击并提高参数估计精度，发现政府和价格加成冲击不产生显著动态。
Summary Dynamic stochastic general equilibrium (DSGE) models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We analyze the consequences of estimating shocks that are “nonexistent” and propose a method to select the economic shocks driving macroeconomic uncertainty. Forcing these nonexisting shocks in estimation produces a downward bias in the estimated internal persistence of the model. We show how these distortions can be reduced by using priors for standard deviations whose support includes zero. The method allows us to accurately select shocks and estimate model parameters with high precision. We revisit the empirical evidence on an industry standard medium‐scale DSGE model and find that government and price markup shocks are innovations that do not generate statistically significant dynamics.