Inference in dynamic stochastic general equilibrium models with possible weak identification

DOI10.3982/QE287zbMath1395.62363MaRDI QIDQ4586298

Zhongjun Qu

Publication date: 12 September 2018

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

zbMATH Keywords

likelihoodfrequency domainbusiness cycleimpulse responseinferenceweak identificationrational expectations models

Mathematics Subject Classification ID

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

Related Items (7)

Impulse response matching estimators for DSGE models ⋮ DSGE pileups ⋮ Identification of DSGE models -- the effect of higher-order approximation and pruning ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Projection-based inference with particle swarm optimization

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