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Kleiman-Weiner, Max; Tenenbaum, Joshua B.; Zhou, Penghui - In: The econometrics journal 21 (2018) 3, pp. 298-315

Persistent link: https://www.econbiz.de/10012166636

Robust inference in structural vector autoregressions with long-run restrictions

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Frequentist inference in weakly identified dynamic stochastic general equilibrium models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Quantitative economics : QE ; journal of the … 4 (2013) 2, pp. 197-229

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