Reference : A Monte Carlo Analysis of the VAR-Based Indirect Inference Estimation of DSGE Models

	Document type :	E-prints/Working papers : First made available on ORBi
	Discipline(s) :	Business & economic sciences : Macroeconomics & monetary economics
	To cite this reference:	http://hdl.handle.net/2268/88827

Title :	A Monte Carlo Analysis of the VAR-Based Indirect Inference Estimation of DSGE Models
Language :	English
Author, co-author :	Dubois, David [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Economie générale et gestion publique >]
Publication date :	Apr-2011
Collection and collection volume :	CREPP Working Papers
Page number :	28
Peer reviewed :	No
Keywords :	[en] DSGE ; Identification ; Indirect inference ; VAR ; Impulse response functions
Abstract :	[en] In this paper we study estimation of DSGE models. More specifically, in the indirect inference framework, we analyze how critical is the choice of the reduced form model for estimation purposes. As it turns out, simple VAR parameters performs better than commonly used impulse response functions. This can be attributed to the fact that IRF worsen identifica- tion issues for models that are already plagued by that phenomenon.
Permalink :	http://hdl.handle.net/2268/88827

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