G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9442
DP9442 The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
Juan Francisco Rubio-Ramírez; Jesus Fernandez-Villaverde
发表日期2013-04-21
出版年2013
语种英语
摘要This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for first and second unconditional moments and impulse response functions. Thus, our analysis introduces GMM estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when simulation is required. We illustrate the usefulness of our approach by estimating a New Keynesian model with habits and Epstein-Zin preferences by GMM when using first and second unconditional moments of macroeconomic and financial data and by SMM when using additional third and fourth unconditional moments and non-Gaussian innovations.
主题International Macroeconomics
关键词Epstein-zin preferences Higher-order perturbation approximation Non-gaussian innovations Yield curve
URLhttps://cepr.org/publications/dp9442
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/538278
推荐引用方式
GB/T 7714
Juan Francisco Rubio-Ramírez,Jesus Fernandez-Villaverde. DP9442 The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. 2013.
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