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Information criteria for impulse response function matching estimation of DSGE models

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Listed:
  • Alastair R. Hall
  • Atsushi Inoue
  • James M. Nason
  • Barbara Rossi

Abstract

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.

Suggested Citation

  • Alastair R. Hall & Atsushi Inoue & James M. Nason & Barbara Rossi, 2007. "Information criteria for impulse response function matching estimation of DSGE models," FRB Atlanta Working Paper 2007-10, Federal Reserve Bank of Atlanta.
  • Handle: RePEc:fip:fedawp:2007-10
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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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