We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic sto- chastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse...

We are grateful to Mehmet Caner, Manfred Deistler, John Einmahl, Atsushi Inoue and Denise Osborn for their comments, as well as for the comments of participants at the presentation of this paper at the Conference on Breaks and Persistence in Econometrics, London, UK, December 2006, Inference and...

We are grateful to Denise Osborn and Eric Renault for valuable comments and to Nikolaos Sakkas for assistance with the computations. The paper has also benefited from the comments of a co-editor and three anonymous referees. An earlier version of this paper was circulated under the title...

This paper assesses quantitatively the impact of legal institutions on entrepreneurial firm dynamics. Owners choose firm size, financial structure and default to manage risk. We find: (i) Less risk averse entrepreneurs run bigger firms and it is optimal for them to incorporate, while more risk...

In this paper, we present a limiting distribution theory for the break point estimator in a linear regression model with multiple structural breaks obtained by minimizing a Two Stage Least Squares (2SLS) objective function. Our analysis covers both the case in which the reduced form for the...

This paper studies interactions between innovation, public capital, and human capital in an OLG model of endogenous growth. Public capital affects growth through productivity, the diffusion rate of new technologies, innovation capacity, and human capital accumulation. Panel data regressions show...