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University of Pennsylvania

Data-rich DSGE models

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Essays In Estimation Of Dynamic Stochastic General Equilibrium Models, Maxym Kryshko May 2010

Essays In Estimation Of Dynamic Stochastic General Equilibrium Models, Maxym Kryshko

Publicly Accessible Penn Dissertations

Dynamic factor models (DFM) and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as latent preference and/or technology shocks. A general topic of this dissertation is the estimation of DSGE models on a rich panel of macroeconomic and financial data by combining a DSGE with a dynamic factor model ...