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A Monte Carlo Analysis of the VAR-Based Indirect Inference Estimation of DSGE Models

  • David Dubois

In this paper we study estimation of DSGE models. More specifically, in the indirect inference framework, we analyze how critical is the choice of the reduced form model for estimation purposes. As it turns out, simple VAR parameters performs better than commonly used impulse response functions. This can be attributed to the fact that IRF worsen identification issues for models that are already plagued by that phenomenon.

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File URL: http://www2.ulg.ac.be/crepp/papers/crepp-wp201104.pdf
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Paper provided by Centre de Recherche en Economie Publique et de la Population (CREPP) (Research Center on Public and Population Economics) HEC-Management School, University of Liège in its series CREPP Working Papers with number 1104.

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Date of creation: 2011
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Handle: RePEc:rpp:wpaper:1104
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  1. RUGE-MURCIA, Francisco J., 2003. "Methods to Estimate Dynamic Stochastic General Equilibrium Models," Cahiers de recherche 17-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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