DETECTING AND ANALYZING THE EFFECTS OF TIME‐VARYING PARAMETERS IN DSGE MODELS
研究了结构参数变化如何影响决策规则和经济推断，提供了检测参数变化并判断其外生或内生的方法，发现恒定参数模型在多数情况下无法拟合时变数据生成过程。
Abstract We study how structural parameter variations affect the decision rules and economic inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. A constant parameter model poorly approximates a time‐varying data generating process (DGP), except in a handful of relevant cases. Linear approximations do not produce time‐varying decision rules; higher‐order approximations can do this only if parameter disturbances are treated as decision rule coefficients. Structural responses are time invariant regardless of order of approximation. Adding endogenous variations to the parameter controlling leverage in Gertler and Karadi's model substantially improves the fit of the model.