Please wait a minute...
Frontiers of Economics in China

ISSN 1673-3444

ISSN 1673-3568(Online)

CN 11-5744/F

Postal Subscription Code 80-978

Front. Econ. China    2015, Vol. 10 Issue (1) : 38-55    https://doi.org/10.3868/s060-004-015-0003-5
research-article
Estimating Nonlinear DSGE Models with Moments Based Methods
Ivashchenko Sergey()
St. Petersburg Institute for Economics and Mathematics, Russian Academy of Sciences, St. Petersburg, 191187, Russia
 Download: PDF(262 KB)  
 Export: BibTeX | EndNote | Reference Manager | ProCite | RefWorks
Abstract

This article suggests a new approach to approximating moments for nonlinear DSGE models. This approach is fast and sufficiently accurate to estimate nonlinear DSGE models. A small financial DSGE model is repeatedly estimated by several modifications of the suggested approach. Approximations of the moments are close to the results of the large sample Monte Carlo estimation. The quality of parameter estimation using our suggested approach is close to the Central Difference Kalman Filter (CDKF); and our suggested approach is much faster.

Keywords DSGE      DSGE-VAR      GMM      nonlinear estimation     
Issue Date: 23 March 2015
 Cite this article:   
Ivashchenko Sergey. Estimating Nonlinear DSGE Models with Moments Based Methods[J]. Front. Econ. China, 2015, 10(1): 38-55.
 URL:  
https://academic.hep.com.cn/fec/EN/10.3868/s060-004-015-0003-5
https://academic.hep.com.cn/fec/EN/Y2015/V10/I1/38
[1] Hailong Qian. Redundancy of Moment Conditions in Restricted GMM Estimation[J]. Front. Econ. China, 2016, 11(3): 468-497.
[2] Biao Gu, Jianfeng Wang, Jingfei Wu. An Estimated DSGE Model for Business Cycle Analysis in China[J]. Front Econ Chin, 2013, 8(3): 390-429.
[3] Xingle Long. Intellectual Property Rights Protection and Recorded Music Sales—Focus on 26 OECD Countries Panel Data[J]. Front Econ Chin, 2011, 6(2): 211-228.
[4] Qiong Li, Zhiwei Wang, . The Taylor Rules and Macroeconomic Fluctuation in China: 1994–2006[J]. Front. Econ. China, 2010, 5(2): 232-253.
Viewed
Full text


Abstract

Cited

  Shared   
  Discussed