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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 MDE--SVAR 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.

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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. Ben S. Bernanke & Julio J. Rotemberg (ed.), 1997. "NBER Macroeconomics Annual 1997," MIT Press Books, The MIT Press, edition 1, volume 1, number 026252242x, June.
  2. Sanvi Avouyi-Dovi & Jean-Guillaume Sahuc, 2009. "Comportement du banquier central en environnement incertain," Revue d'économie politique, Dalloz, vol. 119(1), pages 119-142.
  3. Aghion, Philippe & Askenazy, Philippe & Bourlès, Renaud & Cette, Gilbert & Dromel, Nicolas, 2007. "Education, Market Rigidities and Growth," IZA Discussion Papers 3166, Institute for the Study of Labor (IZA).
  4. repec:cup:cbooks:9780521477444 is not listed on IDEAS
  5. Canova, Fabio & Sala, Luca, 2009. "Back to square one: Identification issues in DSGE models," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 431-449, May.
  6. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," NBER Working Papers 8403, National Bureau of Economic Research, Inc.
  7. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Working papers 239, Banque de France.
  8. 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.
  9. Ben S. Bernanke & Julio J. Rotemberg, 1997. "Editorial in "NBER Macroeconomics Annual 1997, Volume 12"," NBER Chapters, in: NBER Macroeconomics Annual 1997, Volume 12, pages 1-6 National Bureau of Economic Research, Inc.
  10. repec:cup:cbooks:9780521471626 is not listed on IDEAS
  11. repec:cup:cbooks:9780521405515 is not listed on IDEAS
  12. repec:cup:cbooks:9780521478373 is not listed on IDEAS
  13. repec:cup:cbooks:9780521477451 is not listed on IDEAS
  14. Ben S. Bernanke & Julio J. Rotemberg, 1997. "NBER Macroeconomics Annual 1997, Volume 12," NBER Books, National Bureau of Economic Research, Inc, number bern97-1, May.
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