Minimum Distance Estimation and Testing of DSGE Models from Structural VARs

Patrick Fève, Julien Matheron () and Jean-Guillaume Sahuc ()

Documents de Travail from Banque de France

Abstract: The aim of this paper is to complement the MDE--SVAR approach when the weighting matrix is not optimal. In empirical studies, this choice is motivated by stochastic singularity or collinearity problems associated with the covariance matrix of Impulse Response Functions. Consequently, the asymptotic distribution cannot be used to test the economic model's fit. To circumvent this difficulty, we propose a simple simulation method to construct critical values for the test statistics. An empirical application with US data illustrates the proposed method.

Keywords: MDE; SVAR; DSGE models. (search for similar items in EconPapers)
JEL-codes: C15 C32 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge, nep-ecm, nep-ets and nep-ore
Date: 2009
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Related works:
Journal Article: Minimum Distance Estimation and Testing of DSGE Models from Structural VARs (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:bfr:banfra:245

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