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Estimating nonlinear DSGE models with moments based methods

Sergey Ivashchenko

No 32, Dynare Working Papers from CEPREMAP

Abstract: This article suggests the new approach to an approximation of nonlinear DSGE models moments. This approach is fast and accurate enough to use it for an estimation of nonlinear DSGE models. The small financial DSGE model is repeatedly estimated by several modifications of suggested approach. Approximations of moments are close to the results of large sample Monte Carlo estimation. Quality of parameters estimation with suggested approach is close to the Central Difference Kalman Filter (the CDKF) based. At the same time suggested approach is much faster.

Keywords: DSGE; DSGE-VAR; GMM; nonlinear estimation (search for similar items in EconPapers)
JEL-codes: C13 C32 E32 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2014-01
New Economics Papers: this item is included in nep-dge, nep-mac and nep-ore
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Related works:
Working Paper: Estimating Nonlinear DSGE Models with Moments Based Methods (2013) Downloads
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