Reference : A Monte Carlo Analysis of the VAR-Based Indirect Inference Estimation of DSGE Models
E-prints/Working papers : First made available on ORBi
Business & economic sciences : Macroeconomics & monetary economics
http://hdl.handle.net/2268/88827
A Monte Carlo Analysis of the VAR-Based Indirect Inference Estimation of DSGE Models
English
Dubois, David [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Economie générale et gestion publique >]
Apr-2011
CREPP Working Papers
28
No
[en] DSGE ; Identification ; Indirect inference ; VAR ; Impulse response functions
[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.
http://hdl.handle.net/2268/88827

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