The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Rubio-Ramírez, Juan Francisco, Fernández-Villaverde, Jesús and Martin M. Andreasen
Authors registered in the RePEc Author Service: Jesus Fernandez-Villaverde and Juan F Rubio-Ramirez

No 9442, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for first and second unconditional moments and impulse response functions. Thus, our analysis introduces GMM estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when simulation is required. We illustrate the usefulness of our approach by estimating a New Keynesian model with habits and Epstein-Zin preferences by GMM when using first and second unconditional moments of macroeconomic and financial data and by SMM when using additional third and fourth unconditional moments and non-Gaussian innovations.

Keywords: Epstein-zin preferences; Higher-order perturbation approximation; Non-gaussian innovations; Yield curve (search for similar items in EconPapers)
JEL-codes: C15 C53 E30 (search for similar items in EconPapers)
Date: 2013-04
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Citations: View citations in EconPapers (65)

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Related works:
Journal Article: The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications (2018)
Working Paper: The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications (2016)
Working Paper: The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications (2013)
Working Paper: The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications (2013)
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