Impulse response matching estimators for DSGE models

DOI10.1016/j.jeconom.2016.09.009zbMath1443.62453OpenAlexW3121381928MaRDI QIDQ341903

Atsushi Inoue, Lutz Kilian, Pablo A. Guerron-Quintana

Publication date: 17 November 2016

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

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/27923/070_hiasDP-E-27.pdf

zbMATH Keywords

bootstrapVARimpulse responseweak identificationDSGE

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

Related Items (11)

Joint confidence sets for structural impulse responses ⋮ Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation ⋮ Comparing different data descriptors in indirect inference tests on DSGE models ⋮ Supply-side policy and economic growth: a case study of the UK ⋮ The uniform validity of impulse response inference in autoregressions ⋮ Anticipated productivity and the labor market ⋮ Identification-Robust Inference With Simulation-Based Pseudo-Matching ⋮ Quasi-Bayesian model selection ⋮ Estimating nonlinear dynamic equilibrium models by matching impulse responses ⋮ Testing DSGE models by indirect inference: a survey of recent findings ⋮ Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks

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