TY  - UNPD
A1  - Guerron-Quintana, Pablo
A1  - Inoue, Atsushi
A1  - Kilian, Lutz
T1  - Impulse response matching estimators for DSGE models
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 498
N2  - One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asympotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise routinely in applied work. We establish the consistency of the impulse response matching estimator in this situation, we derive its asymptotic distribution, and we show how this distribution can be approximated by bootstrap methods. Our methods of inference remain asymptotically valid when the order condition is satisfied, regardless of whether the usual rank condition for the application of the delta method holds. Our analysis sheds new light on the choice of the weighting matrix and covers both weakly and strongly identified DSGE model parameters. We also show that under our assumptions special care is needed to ensure the asymptotic validity of Bayesian methods of inference. A simulation study suggests that the frequentist and Bayesian point and interval estimators we propose are reasonably accurate in finite samples. We also show that using these methods may affect the substantive conclusions in empirical work.
T3  - CFS working paper series - 498 
KW  - structural estimation
KW  - DSGE
KW  - VAR
KW  - impulse response
KW  - nonstandard asymptotics
KW  - bootstrap
KW  - weak identification
KW  - robust inference
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/36055
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-360551
UR  - http://ssrn.com/abstract=2533453
IS  - November 15, 2014
PB  - Center for Financial Studies
CY  - Frankfurt am Main
ER  -