| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9442 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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