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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.

(This abstract was borrowed from another version of this item.)

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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. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Working papers 239, Banque de France.
  2. 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.
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  4. Julio Rotemberg & Michael Woodford, 1997. "An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy," NBER Chapters, in: NBER Macroeconomics Annual 1997, Volume 12, pages 297-361 National Bureau of Economic Research, Inc.
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  7. Alastair Hall & Atsushi Inoue & James M. Nason & Barbara Rossi, 2007. "Information criteria for impulse response function matching estimation of DSGE models," Working Paper 2007-10, Federal Reserve Bank of Atlanta.
  8. Fabio Canova & Luca Sala, 2007. "Back to square one: identification issues in DSGE models," Banco de Espa�a Working Papers 0715, Banco de Espa�a.
  9. David Altig & Lawrence Christiano & Martin Eichenbaum & Jesper Linde, 2005. "Firm-Specific Capital, Nominal Rigidities and the Business Cycle," NBER Working Papers 11034, National Bureau of Economic Research, Inc.
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  12. 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.
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  14. Sahuc, Jean-Guillaume & Avouyi-Dovi, Sanvi, 2009. "Comportement du banquier central en environnement incertain," Economics Papers from University Paris Dauphine 123456789/5490, Paris Dauphine University.
  15. Argia M. Sbordone, 2006. "U.S. wage and price dynamics: a limited information approach," Staff Reports 256, Federal Reserve Bank of New York.
  16. Amato, Jeffery D. & Laubach, Thomas, 2003. "Estimation and control of an optimization-based model with sticky prices and wages," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1181-1215, May.
  17. Marc P. Giannoni & Michael Woodford, 2003. "Optimal Inflation Targeting Rules," NBER Working Papers 9939, National Bureau of Economic Research, Inc.
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  19. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
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  22. Galí, Jordi & Rabanal, Pau, 2004. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Post-War US Data?," CEPR Discussion Papers 4522, C.E.P.R. Discussion Papers.
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