Estimation of DSGE Models: A Monte Carlo Analysis

Detalhes bibliográficos
Autor(a) principal: Motula, Paulo Fernando Nericke
Data de Publicação: 2013
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/10961
Resumo: We investigate the small sample properties and robustness of the parameter estimates of DSGE models. Our test ground is the Smets and Wouters (2007)'s model and the estimation procedures we evaluate are the Simulated Method of Moments (SMM) and Maximum Likelihood (ML). We look at the empirical distributions of the parameter estimates and their implications for impulse-response and variance decomposition in the cases of correct specification and two types of misspecification. Our results indicate an overall poor performance of SMM and some patterns of bias in impulse-response and variance decomposition for ML under the types of misspecification studied.
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spelling Motula, Paulo Fernando NerickeEscolas::EPGEFGVBonomo, Marco Antônio CesarCarvalho, Carlos Viana deBerriel, Tiago Couto2013-07-09T19:40:59Z2013-07-09T19:40:59Z2013-06-18MOTULA, Paulo Fernando Nericke. Estimation of DSGE Models: A Monte Carlo Analysis. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2013.https://hdl.handle.net/10438/10961We investigate the small sample properties and robustness of the parameter estimates of DSGE models. Our test ground is the Smets and Wouters (2007)'s model and the estimation procedures we evaluate are the Simulated Method of Moments (SMM) and Maximum Likelihood (ML). We look at the empirical distributions of the parameter estimates and their implications for impulse-response and variance decomposition in the cases of correct specification and two types of misspecification. Our results indicate an overall poor performance of SMM and some patterns of bias in impulse-response and variance decomposition for ML under the types of misspecification studied.Neste trabalho investigamos as propriedades em pequena amostra e a robustez das estimativas dos parâmetros de modelos DSGE. Tomamos o modelo de Smets and Wouters (2007) como base e avaliamos a performance de dois procedimentos de estimação: Método dos Momentos Simulados (MMS) e Máxima Verossimilhança (MV). Examinamos a distribuição empírica das estimativas dos parâmetros e sua implicação para as análises de impulso-resposta e decomposição de variância nos casos de especificação correta e má especificação. Nossos resultados apontam para um desempenho ruim de MMS e alguns padrões de viés nas análises de impulso-resposta e decomposição de variância com estimativas de MV nos casos de má especificação considerados.engDSGEMisspecificationMá especificaçãoMonte CarloEconomiaMonte Carlo, Método deModelos econométricosEstimation of DSGE Models: A Monte Carlo Analysisinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPDFPDFapplication/pdf1492951https://repositorio.fgv.br/bitstreams/8df7ff3d-d100-4475-8dd5-2bcae75614d6/downloadd60fce8c6165733b9666076aef7e2a75MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/5ca3623f-3472-4010-ab2e-9347ad6d9077/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTDissertacao - Paulo Motula.pdf.txtDissertacao - Paulo Motula.pdf.txtExtracted 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dc.title.eng.fl_str_mv Estimation of DSGE Models: A Monte Carlo Analysis
title Estimation of DSGE Models: A Monte Carlo Analysis
spellingShingle Estimation of DSGE Models: A Monte Carlo Analysis
Motula, Paulo Fernando Nericke
DSGE
Misspecification
Má especificação
Monte Carlo
Economia
Monte Carlo, Método de
Modelos econométricos
title_short Estimation of DSGE Models: A Monte Carlo Analysis
title_full Estimation of DSGE Models: A Monte Carlo Analysis
title_fullStr Estimation of DSGE Models: A Monte Carlo Analysis
title_full_unstemmed Estimation of DSGE Models: A Monte Carlo Analysis
title_sort Estimation of DSGE Models: A Monte Carlo Analysis
author Motula, Paulo Fernando Nericke
author_facet Motula, Paulo Fernando Nericke
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Bonomo, Marco Antônio Cesar
Carvalho, Carlos Viana de
dc.contributor.author.fl_str_mv Motula, Paulo Fernando Nericke
dc.contributor.advisor1.fl_str_mv Berriel, Tiago Couto
contributor_str_mv Berriel, Tiago Couto
dc.subject.eng.fl_str_mv DSGE
Misspecification
topic DSGE
Misspecification
Má especificação
Monte Carlo
Economia
Monte Carlo, Método de
Modelos econométricos
dc.subject.por.fl_str_mv Má especificação
Monte Carlo
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Monte Carlo, Método de
Modelos econométricos
description We investigate the small sample properties and robustness of the parameter estimates of DSGE models. Our test ground is the Smets and Wouters (2007)'s model and the estimation procedures we evaluate are the Simulated Method of Moments (SMM) and Maximum Likelihood (ML). We look at the empirical distributions of the parameter estimates and their implications for impulse-response and variance decomposition in the cases of correct specification and two types of misspecification. Our results indicate an overall poor performance of SMM and some patterns of bias in impulse-response and variance decomposition for ML under the types of misspecification studied.
publishDate 2013
dc.date.accessioned.fl_str_mv 2013-07-09T19:40:59Z
dc.date.available.fl_str_mv 2013-07-09T19:40:59Z
dc.date.issued.fl_str_mv 2013-06-18
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv MOTULA, Paulo Fernando Nericke. Estimation of DSGE Models: A Monte Carlo Analysis. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2013.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/10961
identifier_str_mv MOTULA, Paulo Fernando Nericke. Estimation of DSGE Models: A Monte Carlo Analysis. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2013.
url https://hdl.handle.net/10438/10961
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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institution FGV
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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