Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/128441 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
CESifo Working Paper No. 5730
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic 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 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 in-terval estimators we propose are reasonably accurate in practice. We also show that using these methods may affect the substantive conclusions in empirical work.
Schlagwörter: 
structural estimation
DSGE
VAR
impulse response
nonstandard asymptotics
bootstrap
weak identification
robust inference
JEL: 
C32
C52
E30
E50
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
451.92 kB





Publikationen in EconStor sind urheberrechtlich geschützt.