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Minimum Distance Estimation and Testing of DSGE Models from Structural VARs

✍ Scribed by Patrick Fève; Julien Matheron; Jean-Guillaume Sahuc

Book ID
111047015
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
687 KB
Volume
71
Category
Article
ISSN
0140-5543

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📜 SIMILAR VOLUMES

Minimum distance estimation and testing
Minimum distance estimation and testing for interest rate models
✍ Eric Fournié 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 306 KB

We present some methods for the estimation and testing of usual ergodic interest rate models based on the observation of the short interest rate on the monetary market. First, we develop a test of type Kolmogorov-Smirnov for ergodic diffusion processes. We extend the results to the case where some p