Dr. Willi Mutschler
RESEARCHER IN MACROECONOMETRICS
Institute for Econometrics and Economic Statistics, University of Münster
My university homepage: here
Recently, I contributed an extension of the identification toolbox to the Dynare project and was added to the Dynare Team. The next thing on the agenda is adding identifiation at order 2 (as in my JEDC paper) as well as contributing to the implementation of a GMM/SMM/IRF-matching toolbox.
I thank the DFG for funding my project on "Identification and Estimation of Dynamic Stochastic General Equilibrium Models: Skewness Matter"
This project investigates the effect of skewness on identifiability and estimability of parameters in linear and nonlinear dynamic stochastic general equilibrium (DSGE) models using new statistical distributions and econometric methods. The objective of this project is to analyze DSGE models in which skewness occurs not only exogenously in the error term distribution, but also endogenously in the decision rules of agents. This will enable one to estimate the macroeconomic implications of asymmetric production innovations, downward wage rigidities and a small but time-varying probability of disaster, and to carefully disentangle the transmission channels and effects of endogenous and exogenous skewness. Since skewness is one of the most important determinants of economic risk, the results are significant for the next generation of DSGE models to narrow the gap between the macroeconomic and empirical financial literature.
- Hits: 496