Andreasen, Martin M.
[VerfasserIn]
;
Fernández-Villaverde, Jesús
[Sonstige Person, Familie und Körperschaft];
Rubio-Ramirez, Juan Francisco
[Sonstige Person, Familie und Körperschaft]
The Pruned State-Space System for Non-Linear DSGE Models
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2013 erstellt
Beschreibung:
This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for first and second unconditional moments and impulse response functions. Thus, our analysis introduces GMM estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when simulation is required. We illustrate the usefulness of our approach by estimating a New Keynesian model with habits and Epstein-Zin preferences by GMM when using first and second unconditional moments of macroeconomic and financial data and by SMM when using additional third and fourth unconditional moments and non-Gaussian innovations