Structural multi-equation macroeconomic models : complete versus limited-information identi cation-robust estimation and t

@inproceedings{Dufour2011StructuralMM,
  title={Structural multi-equation macroeconomic models : complete versus limited-information identi cation-robust estimation and t},
  author={Jean-Marie Dufour},
  year={2011}
}
We propose two system-based identi…cation-robust methods for structural models including DSGEs that are valid whether identi…cation is weak or strong, and whether identi…cation is theory-intrinsic and/or data speci…c. The …rst one is a full-information method, which relies on restrictions strong enough to allow the existence of a rational-expectations solution, while the second one is a limited-information approach that relies on weaker assumptions even though it remains system-based. We apply… CONTINUE READING