Department of Economics and Business Economics

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Research output: Working paperResearch

Standard

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. / Andreasen, Martin Møller; Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan F.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

Research output: Working paperResearch

Harvard

Andreasen, MM, Fernández-Villaverde, J & Rubio-Ramírez, JF 2013 'The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Andreasen, M. M., Fernández-Villaverde, J., & Rubio-Ramírez, J. F. (2013). The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2013-12

CBE

Andreasen MM, Fernández-Villaverde J, Rubio-Ramírez JF. 2013. The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Andreasen, Martin Møller, Jesús Fernández-Villaverde and Juan F. Rubio-Ramírez The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2013-12). 2013., 64 p.

Vancouver

Andreasen MM, Fernández-Villaverde J, Rubio-Ramírez JF. The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. Aarhus: Institut for Økonomi, Aarhus Universitet. 2013 Apr 18.

Author

Andreasen, Martin Møller ; Fernández-Villaverde, Jesús ; Rubio-Ramírez, Juan F. / The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. Aarhus : Institut for Økonomi, Aarhus Universitet, 2013. (CREATES Research Papers; No. 2013-12).

Bibtex

@techreport{41b16ba1926044fb911b4609408e82bb,
title = "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications",
abstract = "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 …rst and second unconditional moments of macroeconomic and …nancial data and by SMM when using additional third and fourth unconditional moments and non-Gaussian innovations.",
keywords = "Epstein-Zin preferences, Higher-order perturbation approximation, Non-Gaussian innovations, Yield curve",
author = "Andreasen, {Martin M{\o}ller} and Jes{\'u}s Fern{\'a}ndez-Villaverde and Rubio-Ram{\'i}rez, {Juan F.}",
year = "2013",
month = apr,
day = "18",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2013-12",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

AU - Andreasen, Martin Møller

AU - Fernández-Villaverde, Jesús

AU - Rubio-Ramírez, Juan F.

PY - 2013/4/18

Y1 - 2013/4/18

N2 - 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 …rst and second unconditional moments of macroeconomic and …nancial data and by SMM when using additional third and fourth unconditional moments and non-Gaussian innovations.

AB - 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 …rst and second unconditional moments of macroeconomic and …nancial data and by SMM when using additional third and fourth unconditional moments and non-Gaussian innovations.

KW - Epstein-Zin preferences, Higher-order perturbation approximation, Non-Gaussian innovations, Yield curve

M3 - Working paper

T3 - CREATES Research Papers

BT - The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -