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Minimum Distance Estimation and Testing of DSGE Models from Structural VARs

  • Fève, Patrick
  • Matheron, Julien
  • Sahuc, Jean-Guillaume

The aim of this paper is to complement the minimum distance estimation-structural vector autoregression approach when the weighting matrix is not optimal. In empirical studies, this choice is motivated by stochastic singularity or collinearity problems associated with the covariance matrix of impulse response functions. Consequently, the asymptotic distribution cannot be used to test the economic model's fit. To circumvent this difficulty, we propose a simple simulation method to construct critical values for the test statistics. An empirical application with US data illustrates the proposed method. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2009.

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Paper provided by Toulouse School of Economics (TSE) in its series TSE Working Papers with number 09-138.

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Date of creation: Dec 2009
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Publication status: Published in Oxford Bulletin of Economics and Statistics, vol.�71, n°6, décembre 2009, p.�883-894.
Handle: RePEc:tse:wpaper:22257
Contact details of provider: Phone: (+33) 5 61 12 86 23
Web page: http://www.tse-fr.eu/

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  1. Olivier Darné & Laurent Ferrara, 2011. "Identification of Slowdowns and Accelerations for the Euro Area Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(3), pages 335-364, 06.
  2. Aghion, Philippe & Askenazy, Philippe & Bourlès, Renaud & Cette, Gilbert & Dromel, Nicolas, 2009. "Education, market rigidities and growth," Economics Letters, Elsevier, vol. 102(1), pages 62-65, January.
  3. Avouyi-Dovi, S. & Bardos, M. & Jardet, C. & Kendaoui, L. & Moquet , J., 2009. "Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector," Working papers 238, Banque de France.
  4. Avouyi-Dovi, S. & Sahuc, J-G., 2009. "Comportement du banquier central en environnement incertain," Working papers 241, Banque de France.
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