Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models
Journal of Macroeconomics(2016)
摘要
•Parameter estimates of full information estimation techniques in DSGE models are very sensible to model misspecifications.•Limited information techniques do not suffer much from moderate model misspecifications.•Limited information techniques can be used as robustness check for DGSE models.
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关键词
FIML,(CU)GMM,Finite sample bias,Misspecification,Monte Carlo,DSGE
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