Impulse response analysis in a misspecified DSGE model: a comparison of full and limited information techniques

Sebastian Giesen and Rolf Scheufele

Applied Economics Letters, 2016, vol. 23, issue 3, 162-166

Abstract: In this article, we examine the effect of estimation biases - introduced by model misspecification - on the impulse responses analysis for dynamic stochastic general equilibrium (DSGE) models. Thereby, we use full and limited information estimators to estimate a misspecified DSGE model and calculate impulse response functions (IRFs) based on the estimated structural parameters. It turns out that IRFs based on full information techniques can be unreliable under misspecification.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:23:y:2016:i:3:p:162-166

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DOI: 10.1080/13504851.2015.1061636

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