Impulse response matching estimators for DSGE models

  • 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.

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Metadaten
Author:Pablo Guerron-Quintana, Atsushi Inoue, Lutz Kilian
URN:urn:nbn:de:hebis:30:3-360551
URL:http://ssrn.com/abstract=2533453
DOI:https://doi.org/10.2139/ssrn.2533453
Parent Title (English):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 498
Series (Serial Number):CFS working paper series (498)
Publisher:Center for Financial Studies
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2014
Year of first Publication:2014
Publishing Institution:Universit├Ątsbibliothek Johann Christian Senckenberg
Release Date:2014/12/15
Tag:DSGE; VAR; bootstrap; impulse response; nonstandard asymptotics; robust inference; structural estimation; weak identification
Issue:November 15, 2014
Page Number:56
HeBIS-PPN:352197382
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C32 Time-Series Models; Dynamic Quantile Regressions (Updated!)
C Mathematical and Quantitative Methods / C5 Econometric Modeling / C52 Model Evaluation and Selection
Sammlungen:Universit├Ątspublikationen
Licence (German):License LogoDeutsches Urheberrecht