CONSISTENT VARIANCE OF THE LAPLACE-TYPE ESTIMATORS: APPLICATION TO DSGE MODELS
成果类型：
Article
署名作者：
Kormilitsina, Anna; Nekipelov, Denis
署名单位：
Southern Methodist University; University of Virginia
刊物名称：
INTERNATIONAL ECONOMIC REVIEW
ISSN/ISSBN：
0020-6598
DOI：
10.1111/iere.12169
发表日期：
2016
页码：
603-621
关键词：
摘要：
The Laplace-type estimator has become popular in applied macroeconomics, in particular for estimation of dynamic stochastic general equilibrium (DSGE) models. It is often obtained as the mean and variance of a parameter's quasi-posterior distribution, which is defined using a classical estimation objective. We demonstrate that the objective must be properly scaled; otherwise, arbitrarily small confidence intervals can be obtained if calculated directly from the quasi-posterior distribution. We estimate a standard DSGE model and find that scaling up the objective may be useful in estimation with problematic parameter identification. It this case, however, it is important to adjust the quasi-posterior variance to obtain valid confidence intervals.
来源URL：