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Impulse response analysis in a misspecified DSGE model: a comparison of full and limited information techniques

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  • Sebastian Giesen
  • Rolf Scheufele

Abstract

In this article, we examine the effect of estimation biases - introduced by model misspecification - on the impulse responses analysis for dynamic stochastic general equilibrium (DSGE) models. Thereby, we use full and limited information estimators to estimate a misspecified DSGE model and calculate impulse response functions (IRFs) based on the estimated structural parameters. It turns out that IRFs based on full information techniques can be unreliable under misspecification.

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  • Sebastian Giesen & Rolf Scheufele, 2016. "Impulse response analysis in a misspecified DSGE model: a comparison of full and limited information techniques," Applied Economics Letters, Taylor & Francis Journals, vol. 23(3), pages 162-166, February.
    • Handle: RePEc:taf:apeclt:v:23:y:2016:i:3:p:162-166
    DOI: 10.1080/13504851.2015.1061636
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    Cited by:

    1. Giesen, Sebastian & Scheufele, Rolf, 2016. "Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 1-18.

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