全球智库信息集成服务系统(G2TT): DP10298 Impulse Response Matching Estimators for DSGE Models

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP10298
	DP10298 Impulse Response Matching Estimators for DSGE Models
	Lutz Kilian; Atsushi Inoue; Pablo A. Guerron-Quintana
发表日期	2014-12-14
出版年	2014
语种	英语
摘要	One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise routinely in applied work. We establish the consistency of the impulse response matching estimator in this situation, we derive its asymptotic distribution, and we show how this distribution can be approximated by bootstrap methods. Our methods of inference remain asymptotically valid when the order condition is satisfied, regardless of whether the usual rank condition for the application of the delta method holds. Our analysis sheds new light on the choice of the weighting matrix and covers both weakly and strongly identified DSGE model parameters. We also show that under our assumptions special care is needed to ensure the asymptotic validity of Bayesian methods of inference. A simulation study suggests that the frequentist and Bayesian point and interval estimators we propose are reasonably accurate infinite samples. We also show that using these methods may affect the substantive conclusions in empirical work.
主题	International Macroeconomics
关键词	Structual estimation Dsge Var Impulse response Nonstandard asymptotics Bootstrap Weak identification Robust inference
URL	https://cepr.org/publications/dp10298
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/539130
推荐引用方式 GB/T 7714	Lutz Kilian,Atsushi Inoue,Pablo A. Guerron-Quintana. DP10298 Impulse Response Matching Estimators for DSGE Models. 2014.