Frequentist inference in weakly identified dynamic stochastic general equilibrium models

Abstract

A common problem in estimating dynamic stochastic general equilibrium models is that the structural parameters of economic interest are only weakly identified. As a result, classical confidence sets and Bayesian credible sets will not coincide even asymptotically, and the mean, mode, or median of the posterior distribution of the structural parameters can… (More)

Topics

4 Figures and Tables

Cite this paper

@inproceedings{GuerronQuintana2013FrequentistII, title={Frequentist inference in weakly identified dynamic stochastic general equilibrium models}, author={Pablo Guerron-Quintana and Atsushi Inoue and Lutz Kilian}, year={2013} }