Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104818
Authors: 
Guerron-Quintana, Pablo
Inoue, Atsushi
Kilian, Lutz
Year of Publication: 
2014
Series/Report no.: 
CFS Working Paper Series 498
Abstract: 
One of the leading methods of estimating the structural parameters of DSGE mod- els 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 by bootstrap methods. Our methods of inference remain asymptotically valid when the order condition is satisfied, regardless of whether the usual rank condition for the application of the delta method holds. 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 frequentist and Bayesian point and interval estimators we propose are reasonably accurate in finite samples. We also show that using these methods may affect the substantive conclusions in empirical work.
Subjects: 
structural estimation
DSGE
VAR
impulse response
nonstandard asymptotics
bootstrap
weak identification
robust inference
JEL: 
C32
C52
E30
E50
Document Type: 
Working Paper

Files in This Item:
File
Size
909.24 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.