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Evaluating the information matrix in linearized DSGE models

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  • Iskrev, Nikolay

Abstract

In this note we show how the stochastic general equilibrium (DSGE) models can be evaluated analytically. The result is useful for the estimation and identification analysis of such models.

Suggested Citation

  • Iskrev, Nikolay, 2008. "Evaluating the information matrix in linearized DSGE models," Economics Letters, Elsevier, vol. 99(3), pages 607-610, June.
    • Handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:607-610
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    References listed on IDEAS

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    1. Peter A. Zadrozny, 1988. "Analytic Derivatives for Estimation of Linear Dynamic Models," Working Papers 88-5, Center for Economic Studies, U.S. Census Bureau.
    2. Canova, Fabio & Sala, Luca, 2009. "Back to square one: Identification issues in DSGE models," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 431-449, May.
    3. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
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    5. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
    6. Thomas J. Rothenberg, 1966. "Efficient Estimation with a priori Information: A Classical Approach," Cowles Foundation Discussion Papers 205, Cowles Foundation for Research in Economics, Yale University.
    7. André Klein & Guy Melard & Toufik Zahaf, 2000. "Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules," ULB Institutional Repository 2013/13742, ULB -- Universite Libre de Bruxelles.
    8. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
    9. Sims, Christopher A, 2002. "Solving Linear Rational Expectations Models," Computational Economics, Springer;Society for Computational Economics, vol. 20(1-2), pages 1-20, October.
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    Citations

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    Cited by:

    1. Evren Caglar & Jagjit S. Chadha & Katsuyuki Shibayama, 2011. "Bayesian Estimation of DSGE models: Is the Workhorse Model Identified?," Studies in Economics 1125, School of Economics, University of Kent.
    2. Gary Koop & M. Hashem Pesaran & Ron P. Smith, 2013. "On Identification of Bayesian DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 300-314, July.
    3. repec:hal:spmain:info:hdl:2441/3ug0u3qte39q7rqvbmij9rb993 is not listed on IDEAS
    4. Martin Fukac & Adrian Pagan, 2009. "Structural Macro-Econometric Modelling in a Policy Environment," NCER Working Paper Series 50, National Centre for Econometric Research.
    5. Dave, Chetan & Malik, Samreen, 2017. "A tale of fat tails," European Economic Review, Elsevier, vol. 100(C), pages 293-317.
    6. Andrew Binning & Junior Maih, 2016. "Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model," Working Papers No 3/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    7. Mutschler, Willi, 2014. "Identification of DSGE Models - A Comparison of Methods and the Effect of Second Order Approximation," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100598, Verein für Socialpolitik / German Economic Association.
    8. Chadha, Jagjit S. & Shibayama, Katsuyuki, 2018. "Bayesian estimation of DSGE models: Identification using a diagnostic indicator," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 172-186.
    9. Mutschler, Willi, 2015. "Identification of DSGE models—The effect of higher-order approximation and pruning," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 34-54.
    10. Charles Olivier Mao Takongmo, 2021. "DSGE models, detrending, and the method of moments," Bulletin of Economic Research, Wiley Blackwell, vol. 73(1), pages 67-99, January.
    11. Martin Fukac, 2009. "Impulse Response Identification in DSGE Models," Reserve Bank of New Zealand Discussion Paper Series DP2009/14, Reserve Bank of New Zealand.
    12. Gunnar Bårdsen & Luca Fanelli, 2015. "Frequentist Evaluation of Small DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 307-322, July.
    13. MAO TAKONGMO, Charles Olivier, 2019. "Keynesian Models, Detrending, and the Method of Moments," MPRA Paper 91709, University Library of Munich, Germany.
    14. Anna Mikusheva, 2014. "Estimation of dynamic stochastic general equilibrium models (in Russian)," Quantile, Quantile, issue 12, pages 1-21, February.
    15. Li, Yong & Yu, Jun & Zeng, Tao, 2020. "Deviance information criterion for latent variable models and misspecified models," Journal of Econometrics, Elsevier, vol. 216(2), pages 450-493.
    16. repec:spo:wpmain:info:hdl:2441/3ug0u3qte39q7rqvbmij9rb993 is not listed on IDEAS
    17. Iskrev, Nikolay, 2010. "Local identification in DSGE models," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 189-202, March.
    18. Li, Yong & Yu, Jun & Zeng, Tao, 2018. "Integrated Deviance Information Criterion for Latent Variable Models," Economics and Statistics Working Papers 6-2018, Singapore Management University, School of Economics.
    19. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.

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