Information Criteria For Impulse Response Function Matching Estimation Of DSGE Models

Date Added: Oct 2009
Format: PDF

The authors propose new information criteria for Impulse Response Function Matching Estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of Dynamic Stochastic General Equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse responses. First, they propose an information criterion to select only the responses that produce consistent estimates of the true but unknown structural parameters: the Valid Impulse Response Selection Criterion (VIRSC). The criterion is especially useful for mis-specified models. Second, they propose a criterion to select the impulse responses that are most informative about DSGE model parameters: the Relevant Impulse Response Selection Criterion (RIRSC).