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Book part
Publication date: 22 November 2012

Anna Kormilitsina and Denis Nekipelov

The Laplace-type estimator (LTE) is a simulation-based alternative to the classical extremum estimator that has gained popularity in applied research. We show that even…

Abstract

The Laplace-type estimator (LTE) is a simulation-based alternative to the classical extremum estimator that has gained popularity in applied research. We show that even though the estimator has desirable asymptotic properties, in small samples the point estimate provided by LTE may not necessarily converge to the extremum of the sample objective function. Furthermore, we suggest a simple test to verify if the estimator converges. We illustrate these results by estimating a prototype dynamic stochastic general equilibrium model widely used in macroeconomics research.

Details

DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments
Type: Book
ISBN: 978-1-78190-305-6

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Book part
Publication date: 22 November 2012

Abstract

Details

DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments
Type: Book
ISBN: 978-1-78190-305-6

To view the access options for this content please click here
Book part
Publication date: 22 November 2012

Juan Carlos Escanciano, Thomas B. Fomby, R. Carter Hill, Eric Hillebrand and Ivan Jeliazkov

This volume of Advances in Econometrics is devoted to dynamic stochastic general equilibrium (DSGE) models, which have gained popularity in both academic and policy…

Abstract

This volume of Advances in Econometrics is devoted to dynamic stochastic general equilibrium (DSGE) models, which have gained popularity in both academic and policy circles as a theoretically and methodologically coherent way of analyzing a variety of issues in empirical macroeconomics. The volume is divided into two parts. The first part covers important topics in DSGE modeling and estimation practice, including the modeling and role of expectations, the study of alternative pricing models, the problem of non-invertibility in structural VARs, the possible weak identification in new open economy macro models, and the modeling of trend inflation. The second part is devoted to innovations in econometric methodology. The papers in this section advance new techniques for addressing key theoretical and inferential problems and include discussion and applications of Laplace-type, frequency domain, empirical likelihood, and method of moments estimators.

Details

DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments
Type: Book
ISBN: 978-1-78190-305-6

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