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Information criteria for impulse response function matching estimation of DSGE models
Hall, Alastair; Inoue, Atsushi; Nason, James M.; Rossi, … - 2008
parameters of dynamic stochastic general equilibrium (DSGE) macroeconomic models. An advantage of our procedure is that it allows … general enough to apply to impulse responses estimated by VARs, local projections, and simulation methods. We show that our …
Persistent link: https://www.econbiz.de/10010292348
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Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
Hall, Alastair R. - 2014
sampling distributions of the structural parameters of dynamic stochastic general equilibrium (DSGE) models by minimizing the … dimension that yields asymptotically efficient estimators. The criteria are general enough to apply to impulse responses …
Persistent link: https://www.econbiz.de/10013070607
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Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
Hall, Alastair R. - 2014
parameters of dynamic stochastic general equilibrium (DSGE) macroeconomic models. An advantage of our procedure is that it allows … general enough to apply to impulse responses estimated by VARs, local projections, and simulation methods. We show that our …
Persistent link: https://www.econbiz.de/10012709425
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Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
Hall, Alastair; Inoue, Atsushi; Nason, James M.; Rossi, … - Duke University, Department of Economics - 2010
sampling distributions of the structural parameters of dynamic stochastic general equilibrium (DSGE) models by minimizing the … dimension that yields asymptotically efficient estimators. The criteria are general enough to apply to impulse responses …
Persistent link: https://www.econbiz.de/10008549014
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INFORMATION CRITERIA FOR IMPULSE RESPONSE FUNCTION MATCHING ESTIMATION OF DSGE MODELS
Hall, Alastair; Atsushi; Nason, James M; Rossi, Barbara - Duke University, Department of Economics - 2009
sampling distributions of the structural parameters of dynamic sto- chastic general equilibrium (DSGE) models by minimizing the … dimension that yields asymptotically e¢ cient estimators. The criteria are general enough to apply to impulse responses …
Persistent link: https://www.econbiz.de/10008549053
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Information criteria for impulse response function matching estimation of DSGE models
Hall, Alastair R.; Inoue, Atsushi; Nason, James M.; … - In: Journal of Econometrics 170 (2012) 2, pp. 499-518
sampling distributions of the structural parameters of dynamic stochastic general equilibrium (DSGE) models by minimizing the … dimension that yields asymptotically efficient estimators. The criteria are general enough to apply to impulse responses …
Persistent link: https://www.econbiz.de/10011052257
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Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
Hall, Alastair; Inoue, Atsushi; Nason M, James; Rossi, … - Duke University, Department of Economics - 2007
Dynamic Stochastic General Equilibrium models, thus reconciling their empirical results with the existing literature. Our … criterion is general enough to apply to impulse responses estimated by VARs, local projections, as well as simulation methods. …
Persistent link: https://www.econbiz.de/10005787377
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Detecting and predicting forecast breakdowns
Giacomini, Raffaella; Rossi, Barbara - 2006
, which is valid under general conditions, can be used not only to detect past forecast breakdowns but also to predict future …
Persistent link: https://www.econbiz.de/10011604684
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Model comparisons in unstable environments
Giacomini, Raffaella; Rossi, Barbara - 2012
The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...
Persistent link: https://www.econbiz.de/10010288300
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Model comparisons in unstable environments
Giacomini, Raffaella; Rossi, Barbara - 2012
The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...
Persistent link: https://www.econbiz.de/10009554364