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Chapter 9. Solution and Estimation Methods for DSGE Models
Fernández-Villaverde, J.; Rubio-Ramírez, J.F.; … - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 527-724). 2016
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
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A Bayesian Approach to Inference on Probabilistic Surveys
Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022
with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there … relationship becomes one-to-one, as the theory would predict …
Persistent link: https://www.econbiz.de/10014080529
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A Bayesian approach for inference on probabilistic surveys
Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022
with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there … relationship becomes one-to-one, as the theory would predict. …
Persistent link: https://www.econbiz.de/10013336345
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Bayesian Estimation and Comparison of Conditional Moment Models
Chib, Siddhartha - 2020
on the number of approximating functions, even under misspecification of the conditional moments. A large-sample theory …
Persistent link: https://www.econbiz.de/10012846148
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Bayesian mode inference for discrete distributions in economics and finance
Cross, Jamie; Hoogerheide, Lennart; Labonne, Paul; … - 2023
Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. We propose a straightforward yet effective technique for mode inference in discrete data...
Persistent link: https://www.econbiz.de/10014313693
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Optimal Inference in Dynamic Models with Conditional Moment Restrictions
Christensen, Bent Jesper - 2008
By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional … Newey's. Specification and hypothesis testing in our framework are introduced. We derive the theory of optimal instruments … and the associated asymptotic distribution theory for general cases including non-martingale estimating functions and …
Persistent link: https://www.econbiz.de/10012723172
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Inference for Iterated GMM Under Misspecification and Clustering
Hansen, Bruce E.; Lee, Seojeong - 2019
This paper develops a new distribution theory and inference methods for over-identified Generalized Method of Moments … with heterogeneous and growing cluster sizes. This paper is the first to provide a rigorous theory for the iterated GMM … asymptotic theory allows the moments to be possibly misspecified, which is a general feature of approximate over …
Persistent link: https://www.econbiz.de/10014033687
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A User’s Guide for Inference in Models Defined by Moment Inequalities
Canay, Ivan A; Illanes, Gaston; Velez, Amilcar - 2023
Models defined by moment inequalities have become a standard modeling framework for empirical economists, spreading over a wide range of fields within economics. From the point of view of an empirical researcher, the literature on inference in moment inequality models is large and complex,...
Persistent link: https://www.econbiz.de/10014255405
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Bayesian inference for partially identified convex models : is it valid for frequentist inference?
Liao, Yuan; Simoni, Anna - 2016
Inference on partially identified models plays an important role in econometrics. This paper proposes novel Bayesian procedures for these models when the identified set is closed and convex and so is completely characterized by its support function. We shed new light on the connection between...
Persistent link: https://www.econbiz.de/10011516677
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On Marginal Likelihood Computation in Change-Point Models
Bauwens, Luc - 2017
Change-point models are useful for modeling time series subject to structural breaks. For interpretation and forecasting, it is essential to estimate correctly the number of change points in this class of models. In Bayesian inference, the number of change points is typically chosen by the...
Persistent link: https://www.econbiz.de/10012956772