Matches in SemOpenAlex for { <https://semopenalex.org/work/W3149667778> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W3149667778 abstract "This paper explores the potential of bootstrap methods in the empirical evalu- ation of dynamic stochastic general equilibrium (DSGE) models and, more generally, in linear rational expectations models featuring unobservable (latent) components. We consider two dimensions. First, we provide mild regularity conditions that suffice for the bootstrap Quasi- Maximum Likelihood (QML) estimator of the structural parameters to mimic the asymptotic distribution of the QML estimator. Consistency of the bootstrap allows to keep the probability of false rejections of the cross-equation restrictions under control. Second, we show that the realizations of the bootstrap estimator of the structural parameters can be constructively used to build novel, computationally straightforward tests for model misspecification, including the case of weak identification. In particular, we show that under strong identification and boot- strap consistency, a test statistic based on a set of realizations of the bootstrap QML estimator approximates the Gaussian distribution. Instead, when the regularity conditions for inference do not hold as e.g. it happens when (part of) the structural parameters are weakly identified, the above result is no longer valid. Therefore, we can evaluate how close or distant is the esti- mated model from the case of strong identification. Our Monte Carlo experimentations suggest that the bootstrap plays an important role along both dimensions and represents a promising evaluation tool of the cross-equation restrictions and, under certain conditions, of the strength of identification. An empirical illustration based on a small-scale DSGE model estimated on U.S. quarterly observations shows the practical usefulness of our approach." @default.
- W3149667778 created "2021-04-13" @default.
- W3149667778 creator A5026467151 @default.
- W3149667778 creator A5064130874 @default.
- W3149667778 creator A5068883981 @default.
- W3149667778 date "2016-01-01" @default.
- W3149667778 modified "2023-09-23" @default.
- W3149667778 title "Bootstrapping DSGE models" @default.
- W3149667778 hasPublicationYear "2016" @default.
- W3149667778 type Work @default.
- W3149667778 sameAs 3149667778 @default.
- W3149667778 citedByCount "0" @default.
- W3149667778 crossrefType "posted-content" @default.
- W3149667778 hasAuthorship W3149667778A5026467151 @default.
- W3149667778 hasAuthorship W3149667778A5064130874 @default.
- W3149667778 hasAuthorship W3149667778A5068883981 @default.
- W3149667778 hasConcept C105795698 @default.
- W3149667778 hasConcept C116834253 @default.
- W3149667778 hasConcept C126285488 @default.
- W3149667778 hasConcept C149782125 @default.
- W3149667778 hasConcept C162324750 @default.
- W3149667778 hasConcept C185429906 @default.
- W3149667778 hasConcept C19499675 @default.
- W3149667778 hasConcept C207609745 @default.
- W3149667778 hasConcept C2524010 @default.
- W3149667778 hasConcept C2776436953 @default.
- W3149667778 hasConcept C2780695315 @default.
- W3149667778 hasConcept C28826006 @default.
- W3149667778 hasConcept C33923547 @default.
- W3149667778 hasConcept C489367 @default.
- W3149667778 hasConcept C556758197 @default.
- W3149667778 hasConcept C59822182 @default.
- W3149667778 hasConcept C86803240 @default.
- W3149667778 hasConceptScore W3149667778C105795698 @default.
- W3149667778 hasConceptScore W3149667778C116834253 @default.
- W3149667778 hasConceptScore W3149667778C126285488 @default.
- W3149667778 hasConceptScore W3149667778C149782125 @default.
- W3149667778 hasConceptScore W3149667778C162324750 @default.
- W3149667778 hasConceptScore W3149667778C185429906 @default.
- W3149667778 hasConceptScore W3149667778C19499675 @default.
- W3149667778 hasConceptScore W3149667778C207609745 @default.
- W3149667778 hasConceptScore W3149667778C2524010 @default.
- W3149667778 hasConceptScore W3149667778C2776436953 @default.
- W3149667778 hasConceptScore W3149667778C2780695315 @default.
- W3149667778 hasConceptScore W3149667778C28826006 @default.
- W3149667778 hasConceptScore W3149667778C33923547 @default.
- W3149667778 hasConceptScore W3149667778C489367 @default.
- W3149667778 hasConceptScore W3149667778C556758197 @default.
- W3149667778 hasConceptScore W3149667778C59822182 @default.
- W3149667778 hasConceptScore W3149667778C86803240 @default.
- W3149667778 hasLocation W31496677781 @default.
- W3149667778 hasOpenAccess W3149667778 @default.
- W3149667778 hasPrimaryLocation W31496677781 @default.
- W3149667778 hasRelatedWork W1996929722 @default.
- W3149667778 hasRelatedWork W2146824778 @default.
- W3149667778 hasRelatedWork W2256443717 @default.
- W3149667778 hasRelatedWork W2270234797 @default.
- W3149667778 hasRelatedWork W2527304498 @default.
- W3149667778 hasRelatedWork W2661655577 @default.
- W3149667778 hasRelatedWork W2790952564 @default.
- W3149667778 hasRelatedWork W2886644436 @default.
- W3149667778 hasRelatedWork W3021392366 @default.
- W3149667778 hasRelatedWork W3121413061 @default.
- W3149667778 hasRelatedWork W3123704021 @default.
- W3149667778 hasRelatedWork W3125293109 @default.
- W3149667778 hasRelatedWork W3126108347 @default.
- W3149667778 hasRelatedWork W3163762655 @default.
- W3149667778 hasRelatedWork W3177933241 @default.
- W3149667778 hasRelatedWork W3185365215 @default.
- W3149667778 hasRelatedWork W3186698138 @default.
- W3149667778 hasRelatedWork W3196095463 @default.
- W3149667778 hasRelatedWork W3197809624 @default.
- W3149667778 hasRelatedWork W3123795567 @default.
- W3149667778 isParatext "false" @default.
- W3149667778 isRetracted "false" @default.
- W3149667778 magId "3149667778" @default.
- W3149667778 workType "article" @default.