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
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Citations: View citations in EconPapers (10)
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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) 
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