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Estimating Nonlinear DSGE Models with Moments Based Methods

Sergey Ivashchenko

No 2013/03, EUSP Department of Economics Working Paper Series from European University at St. Petersburg, Department of Economics

Abstract: This article suggests new approach to approximation of moments of nonlinear DSGE models. These approximations are fast and accurate enough to use them for estimation of parameters of nonlinear DSGE models. A small financial DSGE model is repeatedly estimated by several approaches. Approximations of moments are close to moments calculated for large sample simulations. The quality of estimation with suggested approach is close to the Central Difference Kalman Filter (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: 28 pages
Date: 2013-06-11
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https://eusp.org/sites/default/files/archive/ec_dep/wp/Ec-03_13.pdf (application/pdf)

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Working Paper: Estimating nonlinear DSGE models with moments based methods (2014) Downloads
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