Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107875
Authors: 
Blasques, Francisco
Duplinskiy, Artem
Year of Publication: 
2015
Series/Report no.: 
Tinbergen Institute Discussion Paper 15-009/III
Abstract: 
Parameter estimates of structural economic models are often difficult to interpret at the light of the underlying economic theory. Bayesian methods have become increasingly popular as a tool for conducting inference on structural models since priors offer a way to exert control over the estimation results. This paper proposes a penalized indirect inference estimator that allows researchers to obtain economically meaningful parameter estimates in a frequentist setting. The asymptotic properties of the estimator are established for both correctly and incorrectly specified models. A Monte Carlo study reveals the role of the penalty function in shaping the finite sample distribution of the estimator. The advantages of using this estimator are highlighted in the empirical study of a state-of-the-art dynamic stochastic general equilibrium model.
Subjects: 
Penalized estimation
Indirect Inference
Simulation-based methods
DSGE models
JEL: 
C15
C13
D58
E32
Document Type: 
Working Paper

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