Consistent Variance of the Laplace Type Estimators: Application to DSGE Models

Anna Kormilitsina () and Denis Nekipelov ()

No 1510, Departmental Working Papers from Southern Methodist University, Department of Economics

Abstract: Laplace-type estimator has become popular in applied macroeconomics, in particular for estimation of DSGE models. It is often obtained as the mean and variance of parameter's quasi-posterior distribution, which is defined using a classical estimation objective. We demonstrate that the objective must be properly scalded; otherwise, arbirarily small confidence intervals can be obtained if calculated directly from the quasiposterior distribution. We estimate a standard DSGE model and find that scaling up the objective may be useful in estimation with problematic parameter identification. In this case, however, it is important to adjust the quasi-posterior variance to obtain valid confidence intervals.

Keywords: Laplace-type estimator; GMM; DSGE model (search for similar items in EconPapers)
JEL-codes: C11 C13 C15 E30 (search for similar items in EconPapers)
Date: 2015-05
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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