Impulse Response Matching Estimators for DSGE Models

---

主讲人	Atsushi Inoue	简介	<div>One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asympotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise routinely in applied work. We establish the consistency of the impulse response matching estimator in this situation, we derive its asymptotic distribution, and we show how this distribution can be approximated&nbsp;by bootstrap methods. Our analysis sheds new light on the choice of the weighting matrix and covers both weakly and strongly identified DSGE model parameters. We also show that under our assumptions special care is needed to ensure the asymptotic validity of Bayesian methods of inference. A simulation study suggests that the interval estimators we propose are reasonably accurate in practice. We also show that using these methods may affect the substantive conclusions in empirical work.</div> <div>&nbsp;</div>
时间	2016-05-25(Wednesday)16:40-18:00	地点	D236, Econ Building
讲座语言	English	主办单位	WISE & SOE
承办单位		类型	系列讲座
联系人信息		主持人	Qingliang Fan
专题网站		专题
主讲人简介	<p>&nbsp;Professor, Department of Economics, Vanderbilt University, Nashville</p> <p>&nbsp;</p> <p><a href="/Upload/File/2016/5/20160517051859847.pdf"><span style="color: rgb(0, 0, 255);"><u><strong>Prof. Inoue's CV</strong></u></span></a></p>	期数	厦门大学高级计量经济学与统计学系列讲座2016春季学期第八讲（总第82讲）

系列讲座