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Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
Hall, Alastair R. - 2014
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 R. - 2014
estimated by VARs, local projections, and simulation methods. We show that the use of our criteria significantly affects …
Persistent link: https://www.econbiz.de/10013070607
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An information theoretic criterion for empirical validation of time series models
Lamperti, Francesco - 2015
Simulated models suffer intrinsically from validation and comparison problems. The choice of a suitable indicator quantifying the distance between the model and the data is pivotal to model selection. However, how to validate and discriminate between alternative models is still an open problem...
Persistent link: https://www.econbiz.de/10010490842
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Identification of one independent shock in structural VARs
Fiorentini, Gabriele; Moneta, Alessio; Papagni, Francesca - 2024
estimation by maximum likelihood. We conduct a detailed Monte Carlo simulation to illustrate the finite sample behavior of our …
Persistent link: https://www.econbiz.de/10015084313
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Information criteria for impulse response function matching estimation of DSGE models
Hall, Alastair R.; Inoue, Atsushi; Nason, James Michael; … - 2008 - Rev.
Persistent link: https://www.econbiz.de/10003730903
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Information criteria for impulse response function matching estimation of DSGE models
Hall, Alastair R.; Inoue, Atsushi; Nason, James Michael; … - 2007
Persistent link: https://www.econbiz.de/10003454912
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Information criteria for impulse response function matching estimation of DSGE models
Hall, Alastair R.; Inoue, Atsushi; Nason, James Michael; … - 2009
Persistent link: https://www.econbiz.de/10003889713
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Information criteria for impulse response function matching estimation of DSGE models
Hall, Alastair R.; Inoue, Atsushi; Nason, James Michael; … - In: Journal of econometrics 170 (2012) 2, pp. 499-518
Persistent link: https://www.econbiz.de/10009686765
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Information criteria for impulse response function matching estimation of DSGE models
Hall, Alastair R.; Inoue, Atsushi; Nason, James Michael; … - 2009
Persistent link: https://www.econbiz.de/10009304454
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Information criteria for impulse response function matching estimation of DSGE models
Hall, Alastair R.; Inoue, Atsushi; Nason, James Michael; … - 2009
Persistent link: https://www.econbiz.de/10009559445