Matching Theory to Data: Impulse Responses in Dynamic Macro Models

Master Thesis by Alexander Kriwoluzky
December 26, 2003

Abstract:

An estimation method for the interference on parameters of a dynamic macro model originally developed by Christiano, Eichenbaum and Evans is examined, extended and implemented in MATLAB. Since a large amount of research deals with the dynamic implications of models, the idea is to minimize the distance between the impulse response function of a Bayesian VAR and the model's impulse response function. The result show that the method, with certain modifications, is applicable and can generate practically useful results.