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 C.E.P.R. Discussion Papers

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (65)

Downloads: (external link)
https://cepr.org/publications/DP9442 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

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)
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:cpr:ceprdp:9442

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP9442
orders@cepr.org

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by (repec@cepr.org).