Guerron-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...