We use the method of indirect inference, using the bootstrap, to test the Smets and Wouters model of the EU against a VAR auxiliary equation describing their data. We find that their model generates excessive variance compared with the data. But their model fits the dynamic facts quite well if...

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...

Poor identification of individual impulse response coefficients does not necessarily mean that an impulse response is imprecisely estimated. This paper introduces a three-pronged approach on how to communicate uncertainty of impulse response estimates: (1) with Wald tests of joint significance;...

Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models identified by conditional heteroskedasticity are reviewed and compared in a Monte Carlo study. The model is a SVAR model with generalized autoregressive conditional...

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...