Arbeitspapier
Penalized Indirect Inference
Parameter estimates of structural economic models are often difficult to interpret at the light of the underlying economic theory. Bayesian methods have become increasingly popular as a tool for conducting inference on structural models since priors offer a way to exert control over the estimation results. This paper proposes a penalized indirect inference estimator that allows researchers to obtain economically meaningful parameter estimates in a frequentist setting. The asymptotic properties of the estimator are established for both correctly and incorrectly specified models. A Monte Carlo study reveals the role of the penalty function in shaping the finite sample distribution of the estimator. The advantages of using this estimator are highlighted in the empirical study of a state-of-the-art dynamic stochastic general equilibrium model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 15-009/III
- Klassifikation
-
Wirtschaft
Statistical Simulation Methods: General
Estimation: General
Computable and Other Applied General Equilibrium Models
Business Fluctuations; Cycles
- Thema
-
Penalized estimation
Indirect Inference
Simulation-based methods
DSGE models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Blasques, Francisco
Duplinskiy, Artem
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Blasques, Francisco
- Duplinskiy, Artem
- Tinbergen Institute
Entstanden
- 2015
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