[en] In this paper we study estimation of DSGE models. More specifically,
in the indirect inference framework, we analyze how critical is the choice
of the reduced form model for estimation purposes. As it turns out, simple
VAR parameters performs better than commonly used impulse response
functions. This can be attributed to the fact that IRF worsen identifica-
tion issues for models that are already plagued by that phenomenon.
Disciplines :
Macroeconomics & monetary economics
Author, co-author :
Dubois, David ; Université de Liège - ULiège > HEC-Ecole de gestion : UER > Economie générale et gestion publique
Language :
English
Title :
A Monte Carlo Analysis of the VAR-Based Indirect Inference Estimation of DSGE Models
