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Impulse response matching estimators for DSGE models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2014

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asympotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...

Persistent link: https://www.econbiz.de/10010437938

The role of the prior in estimating VAR models with sign restrictions

Inoue, Atsushi; Kilian, Lutz - 2021 - This version: December 9, 2020

-form parameters, since the the prior does not, in general, depend on the data. We illustrate that this approach tends to produce …

Persistent link: https://www.econbiz.de/10012661969

Joint Bayesian inference about impulse responses in VAR models

Inoue, Atsushi; Kilian, Lutz - 2020 - This version: November 2, 2020

or the posterior mean response function are not in general the Bayes estimator of the impulse response vector obtained by …

Persistent link: https://www.econbiz.de/10012395183