Research Discussion Paper – RDP 2013-06 Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies

Contents

• Introduction
• Methodology – Estimation
• Identifying the Empirical BVAR-DSGE Model
• Empirical Application
• Conclusions
• Appendix A: Identifying the Large Economy
• Appendix B: Log-linearised Equations of the DSGE Model
• Appendix C: Data Definitions
• Appendix D: BVAR-DSGE Estimates
• References

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My thanks in particular to Adrian Pagan for many useful discussions and comments, Bruce Preston for his code and Sean Langcake for exceptional research assistance, particularly with the coding and estimation of the DSGE model. Jarkko Jääskelä provided valuable advice and assistance. Alex Heath, Mariano Kulish, Jonathan Kearns and James Morley gave useful feedback, and participants at the 2011 Australasian Macroeconomic Workshop in Hobart provided helpful comments. This paper is based on a chapter of my PhD thesis.