Methods to Estimate Dynamic Stochastic General Equilibrium Models

This paper employs the one-sector Real Business Cycle model as a testing ground for four different procedures to estimate Dynamic Stochastic General Equilibrium (DSGE) models. The procedures are: 1 ) Maximum Likelihood, with and without measurement errors and incorporating Bayesian priors, 2) Generalized Method of Moments, 3) Simulated Method of Moments, and 4) Indirect Inference. Monte Carlo analysis indicates that all procedures deliver reasonably good estimates under the null hypothesis. However, there are substantial differences in statistical and computational efficiency in the small samples currently available to estimate DSGE models. GMM and SMM appear to be more robust to misspecification than the alternative procedures. The implications of the stochastic singularity of DSGE models for each estimation method are fully discussed.

Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form

In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are given. A consistent estimator of the asymptotic covariance matrix of the estimator is also provided, so that tests and confidence intervals can easily be constructed.

Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a rationalexpectations assumption, and a modification to the latter which consists in using survey data on inflation expectations. The results based on these two specifications exhibit sharp differences concerning: (i) identification difficulties, (ii) backward-looking behavior, and (ii) the frequency of price adjustments. Overall, we find that there is some support for the hybrid NKPC for the U.S., whereas the model is not suited to Canada. Our findings underscore the need for employing identificationrobust inference methods in the estimation of expectations-based dynamic macroeconomic relations.

Estimation non paramétrique d'une fonction d'évaluation d'options avec contraintes de monotonie et de convexité.

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Estimation de formes flexibles: une application au secteur manufacturier canadien.

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Le rendement de l'éducation au Canada en 1993 : une estimation par la méthode des variables instrumentales.

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Estimation des modèles à seuil STAR et SETAR par deux méthodes d'estimation indirecte.

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L'estimation de modeles de series chronologiques avec erreur sur les variables.

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Estimation de l'impact de l'impot foncier et des depenses municipales sur la valeur des proprietes et des loyers pour Montreal, 1986.

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Estimation of Steel Exports & Imports to analyze the Impact of Free Trade on Production in the Steel Industry.

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La demande de monnaie dans le PVD: une estimation qui tient compte des erreurs de mesure.

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Assurance-chômage, hasard moral et estimation du modèle de hasard proportionnel via le principe d'entropie généralisée.

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Estimation econometrique des determinants de la langue de travail des travailleurs francophones bilingues du Quebec.

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L'experience effective vs l'experience potentielle dans l'estimation de l'e quation de salaire des femmes.

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Estimation of the Polak Model for a Developing Country Utilising the Currency Board : Case of Estonia.

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