Evaluating the information matrix in linearized DSGE models

DOI10.1016/j.econlet.2007.10.016zbMath1255.91231OpenAlexW2048615247MaRDI QIDQ1934822

Nikolay Iskrev

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.10.016

zbMATH Keywords

information matrixHessianDSGE models

Mathematics Subject Classification ID

Stochastic models in economics (91B70) General equilibrium theory (91B50) Statistical aspects of information-theoretic topics (62B10)

Related Items (3)

Identification of DSGE models -- the effect of higher-order approximation and pruning ⋮ Deviance information criterion for latent variable models and misspecified models ⋮ Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models

Uses Software

• Gensys

Cites Work

• Estimation of dynamic econometric models with errors in variables
• A Bayesian approach to dynamic macroeconomics
• Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
• A direct derivation of the exact Fisher information matrix of Gaussian vector state space models
• Analytic derivatives for estimation of linear dynamic models
• Solving linear rational expectations models
• A new method for evaluating the log-likelihood gradient, the Hessian, and the Fisher information matrix for linear dynamic systems
• Identification in Parametric Models

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