Information criteria for impulse response function matching estimation of DSGE models

DOI10.1016/J.JECONOM.2012.05.019MaRDI QIDQ528064zbMATH OpenOpenAlexWikidataFDO

Authors Alastair Hall, Atsushi Inoue, James M. Nason, Barbara Rossi

Publication date 12 May 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2012.05.019

zbMATH Keywords

DSGE modelsimpulse response function matching estimation

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• scientific article; zbMATH DE number 1517502 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Empirical Limits for Time Series Econometric Models
• Indirect inference and calibration of dynamic stochastic general equilibrium models
• Information in generalized method of moments estimation and entropy-based moment selection

Cited in

(12)

• Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation
• Estimating nonlinear dynamic equilibrium models by matching impulse responses
• Deep habits and exchange rate pass-through
• Impulse response matching estimators for DSGE models
• Quasi-Bayesian model selection
• On selection of statistics for approximate Bayesian computing (or the method of simulated moments)
• Identification-Robust Inference With Simulation-Based Pseudo-Matching
• Estimating impulse response functions when the shock series is observed
• Supply-side policy and economic growth: a case study of the UK
• Structural VAR models in the frequency domain
• Select the valid and relevant moments: an information-based Lasso for GMM with many moments
• Testing DSGE models by indirect inference: a survey of recent findings

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