Finite‐Sample Identification‐Robust Inference for Nonlinear DSGE Models
Bibliographic Data
| ID | 21653502 |
|---|---|
| Authors | Lynda Khalaf (0000-0001-8833-5232, Department of Economics Carleton University Ottawa Ontario Canada, corresponding author), Zhenjiang Lin (0000-0002-1224-9327, School of Economics University of Nottingham Ningbo China Ningbo Zhejiang China), Abeer Reza (Bank of Canada Ottawa Ontario Canada) |
| Year | 2025 |
| Volume | 40 |
| Issue | 7 |
| Pages | 788-802 |
| Publication date | 2025-11-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Applied Econometrics (JOURNAL) |
| Journal identifiers | ISSN: 1099-1255 • E-ISSN: 0883-7252 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/jae.70004 |
| OpenAlex | W4412817163 |
| Language | EN |
| References cited | 48 |
We develop identification‐robust likelihood‐free simultaneous confidence sets for dynamic stochastic general equilibrium models, without relying on linear approximations. Our methodology integrates simulation estimation methods using auxiliary statistics with Monte Carlo test principles. Results cover deep parameters and impulse responses. Auxiliary statistics include coefficients of linear and nonlinear vector autoregressions and local projections. Proposed procedures are illustrated through laboratory experiments and an empirical application on a nonlinear real business cycle model. In simulations, we study size, power, and the trade‐off between robustness and insensitivity to misspecification. Empirically, results underscore the information content of asymmetric shocks and the identification gains on impulse responses
Dynamic stochastic general equilibrium · Econometrics · Economics · Inference · Macroeconomics · Monetary policy · Nonlinear system · Physics · Computer Science · Energy, Environment, and Transportation Policies · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Artificial Intelligence
Estimation and Inference of Impulse Responses by Local Projections
Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests
Identification-Robust Inference With Simulation-Based Pseudo-Matching
Simultaneous Confidence Regions for Impulse Responses
Permutation Tests for Comparing Inequality Measures
| Citation velocity | historical |
|---|---|
| Highly cited | No |