Advanced Search
MyIDEAS: Login to save this paper or follow this series

Information Criteria for Impulse Response Function Matching Estimation

Contents:

Author Info

  • Jim Nason

    (Atlanta Fed)

  • Barbara Rossi

    (Duke University)

  • Atsushi Inoue

    (University of British Columbia)

  • Alastair Hall

    (Manchester University)

Abstract

We propose a new Information Criterion for Impulse Response Function Matching estimators of the parameters of a structural model based on classical Minimum Distance estimation. The advantages of our procedure are that: (i) it improves the efficiency of the estimates of the model's deep parameters; (ii) it allows the researcher to select the impulse responses that are more informative about the deep parameters. Our criterion applies to impulse responses estimated by VARs, local projections, as well as simulation methods. An empirical application to the estimation of representative Dynamic Stochastic General Equilibrium models show that our method can substantially improve inference.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2007 Meeting Papers with number 293.

as in new window
Length:
Date of creation: 2007
Date of revision:
Handle: RePEc:red:sed007:293

Contact details of provider:
Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Fax: 1-314-444-8731
Email:
Web page: http://www.EconomicDynamics.org/society.htm
More information through EDIRC

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Oscar Jorda & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Working Papers 78, University of California, Davis, Department of Economics.
  2. Ravn, Morten O. & Schmitt-Grohe, Stephanie & Uribe, Martín & Uuskula, Lenno, 2010. "Deep habits and the dynamic effects of monetary policy shocks," Journal of the Japanese and International Economies, Elsevier, vol. 24(2), pages 236-258, June.
  3. 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.
  4. Mertens, Karel & Ravn, Morten O., 2008. "The Aggregate Effects of Anticipated and Unanticipated U.S. Tax Policy Shocks: Theory and Empirical Evidence," CEPR Discussion Papers 6673, C.E.P.R. Discussion Papers.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:red:sed007:293. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.