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This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE) models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field
Persistent link: https://www.econbiz.de/10013002113
This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.
Persistent link: https://www.econbiz.de/10014024288
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...
Persistent link: https://www.econbiz.de/10011418016
A common problem in estimating dynamic stochastic general equilibrium models is that the structural parameters of economic interest are only weakly identified. As a result, classical confidence sets and Bayesian credible sets will not coincide even asymptotically, and the mean, mode, or median...
Persistent link: https://www.econbiz.de/10011757054
This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, we show that Bayesian methods have a classical interpretation:...
Persistent link: https://www.econbiz.de/10013032688
This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, the authors show that Bayesian methods have a classical interpretation:...
Persistent link: https://www.econbiz.de/10014122702
Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, in small samples power can differ. We explore small sample power with three different auxiliary models: a VAR, average Impulse Response Functions...
Persistent link: https://www.econbiz.de/10011471762
Persistent link: https://www.econbiz.de/10011618365
Parameter estimates of structural economic models are often difficult to interpret at the light of the underlying economic theory. Bayesian methods have become increasingly popular as a tool for conducting inference on structural models since priors offer a way to exert control over the...
Persistent link: https://www.econbiz.de/10010464781
In this paper we consider statistical inference using Approximate Bayesian Computation (ABC) and resolve two problems: The choice of summary statistics and the choice of constant in deciding whether synthetic and real data are close in a certain norm. We argue that the natural choice for summary...
Persistent link: https://www.econbiz.de/10013087016