Information criteria for impulse response function matching estimation of DSGE models
From MaRDI portal
Publication:528064
DOI10.1016/J.JECONOM.2012.05.019zbMATH Open1422.91462OpenAlexW3123416153WikidataQ57430340 ScholiaQ57430340MaRDI QIDQ528064FDOQ528064
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
Recommendations
- Impulse response matching estimators for DSGE models
- Estimating nonlinear dynamic equilibrium models by matching impulse responses
- Methods to estimate dynamic stochastic general equilibrium models
- Testing DSGE models by indirect inference: a survey of recent findings
- Estimating impulse response functions when the shock series is observed
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Title not available (Why is that?)
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Indirect inference and calibration of dynamic stochastic general equilibrium models
- Information in generalized method of moments estimation and entropy-based moment selection
- Empirical Limits for Time Series Econometric Models
Cited In (11)
- 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
- 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
This page was built for publication: Information criteria for impulse response function matching estimation of DSGE models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528064)
