Estimating DSGE using Method of Moments
Posted: Tue Apr 24, 2012 7:10 amHello!
I have read your discussion about the Simulated method of moments used in order to estimate DSGE models. I was wondering if you have any idea about how to implement in Dynare the Method of Moments in order to estimate a linear DSGE model.
I need this code because I am trying to replicate Jang and Sacht (2012):" Identification of Animal Spirits in a Bounded Rationality Model An Application to the Euro Area" for the Romanian economy for my dissertation paper. In this paper a comparison is made between two DSGE models. A linear model that emphasis the rational expectations and a non-linear model that in charaterised by the fact that agents are boundedly rational. As I have understood by reading the article the linear model is estimated using the Method of Moments and the non-linear one is estimated via the Simulated Method of Monets.
I would be very grateful to tou if you could help me with the code or with books, articles and other materials that I can read in order to implement the code in Dynare.
Thank you in advance!
I have read your discussion about the Simulated method of moments used in order to estimate DSGE models. I was wondering if you have any idea about how to implement in Dynare the Method of Moments in order to estimate a linear DSGE model.
I need this code because I am trying to replicate Jang and Sacht (2012):" Identification of Animal Spirits in a Bounded Rationality Model An Application to the Euro Area" for the Romanian economy for my dissertation paper. In this paper a comparison is made between two DSGE models. A linear model that emphasis the rational expectations and a non-linear model that in charaterised by the fact that agents are boundedly rational. As I have understood by reading the article the linear model is estimated using the Method of Moments and the non-linear one is estimated via the Simulated Method of Monets.
I would be very grateful to tou if you could help me with the code or with books, articles and other materials that I can read in order to implement the code in Dynare.
Thank you in advance!