Hi, Could you guys give me a big idea what is the underlying working machine for estimation in DYNARE? Is it like Ireland (2004) to match the theoretical moments and statistical moments as close as possible or based on other ideas ? Could you guys give me a reference paper?
Thank you very much.
You have several papers about estimation in the bibliography on the web site.
When writing the estimation module, we were following more closely the paper by Schofheide and the one by Smets and Wouters
Thanks, besides ML and Bayesian Method ( both are Full Information estimation), is there any limited information estimation like GMM or Minimum Distance Estimation?
No, not for the time being.
Hi, I am interested in do a DSGE based on limited information - ie. minimize the distance between the IRF from a VAR and the IRF from the model -. In a previous post of several years ago, you told us that this wasn’t available in that moment. Is it possible now?
Thanks.It could be very helpfull.
PD. Someone very kind gives me this link with a very interesting article about it, but my limited knowledge of the program don’t allow me to do it. I really need some help in this topic