Publication details

Quantitative analysis of economy model using method of moments

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HLOUŠEK Miroslav

Year of publication 2005
Type Article in Proceedings
Conference Mathematical Methods in Economics 2005
MU Faculty or unit

Faculty of Economics and Administration

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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