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Information criteria for impulse response function matching estimation of DSGE models Author info | Abstract | Publisher info | Download info | Related research | Statistics Alastair Hall
Atsushi Inoue
James M. Nason
Barbara Rossi
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We propose a new information criterion for impulse response function matching estimators of the structural parameters of macroeconomic models. The main advantage of our procedure is that it allows the researcher to select the impulse responses that are most informative about the deep parameters, therefore reducing the bias and improving the efficiency of the estimates of the model’s parameters. We show that our method substantially changes key parameter estimates of representative dynamic stochastic general equilibrium models, thus reconciling their empirical results with the existing literature. Our criterion is general enough to apply to impulse responses estimated by vector autoregressions, local projections, and simulation methods.
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Paper provided by Federal Reserve Bank of Atlanta in its series Working Paper with number
2007-10.
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Riccardo DiCecio & Edward Nelson, 2007.
"An estimated DSGE model for the United Kingdom ,"
Review ,
Federal Reserve Bank of St. Louis, issue Jul, pages 215-232.
[Downloadable!]
Other versions: FÈVE, Patrick & MATHERON, Julien & SAHUC, Jean-Guillaume, 2007.
"Optimal Monetary Policy and Technological Shocks in the Post-War US Business Cycle ,"
IDEI Working Papers
484, Institut d'Économie Industrielle (IDEI), Toulouse.
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Jean-Pierre DANTHINE & André KURMANN, 2007.
"The Business Cycle Implications of Reciprocity in Labor Relations ,"
Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP)
07.12, Université de Lausanne, Faculté des HEC, DEEP.
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"Estimation and Inference by the Method of Projection Minimum Distance ,"
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