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Consistent Variance of the Laplace Type Estimators: Application to DSGE Models

Author

Listed:
  • Anna Kormilitsina

    (Southern Methodist University)

  • Denis Nekipelov

    (University of Virginia)

Abstract

Laplace-type estimator has become popular in applied macroeconomics, in particular for estimation of DSGE models. It is often obtained as the mean and variance of parameter's quasi-posterior distribution, which is defined using a classical estimation objective. We demonstrate that the objective must be properly scalded; otherwise, arbirarily small confidence intervals can be obtained if calculated directly from the quasiposterior distribution. We estimate a standard DSGE model and find that scaling up the objective may be useful in estimation with problematic parameter identification. In this case, however, it is important to adjust the quasi-posterior variance to obtain valid confidence intervals.

Suggested Citation

  • Anna Kormilitsina & Denis Nekipelov, 2015. "Consistent Variance of the Laplace Type Estimators: Application to DSGE Models," Departmental Working Papers 1510, Southern Methodist University, Department of Economics.
    • Handle: RePEc:smu:ecowpa:1510
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    References listed on IDEAS

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    Cited by:

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    3. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.

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    More about this item

    Keywords

    Laplace-type estimator; GMM; DSGE model;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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