Minimum Distance Estimation and Testing of DSGE Models from Structural VARs

Patrick Fève, Julien Matheron and Jean-Guillaume Sahuc

Working papers 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)
Pages: 18 pages
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-dge, nep-ecm, nep-ets and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... g-paper_245_2009.pdf (application/pdf)

Related works:
Journal Article: Minimum Distance Estimation and Testing of DSGE Models from Structural VARs* (2009)
Working Paper: Minimum Distance Estimation and Testing of DSGE Models from Structural VARs (2009)
Working Paper: Minimum Distance Estimation and Testing of DSGE Models from Structural VARs (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:245

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart (labolog@banque-france.fr).