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Information Criteria for Impulse Response Function Matching Estimation

Listed author(s):
  • Jim Nason

    (Atlanta Fed)

  • Barbara Rossi

    (Duke University)

  • Atsushi Inoue

    (University of British Columbia)

  • Alastair Hall

    (Manchester University)

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.

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

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Date of creation: 2007
Handle: RePEc:red:sed007:293
Contact details of provider: Postal:
Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA

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