Replication code for simulating and estimation by GMM of DSGE models with higher-order statistics
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GMMtoolbox
HOSScriptFiles
HOSUtils
.Rhistory
AnSchorfheide_Gaussian.mod
AnSchorfheide_Student_t.mod
LICENSE.md
RBCmodel.mod
RBCmodel_steadystate.m
README.md
XRunForReplication.m
neoclassical_Gaussian.mod
seedNR.mat
usmodel_Gaussian.mod
usmodel_Student_t.mod

README.md

Replication files for Mutschler (2018) - Higher-order statistics for DSGE models, Econometrics and Statistics, Volume 6, Pages 44-56, DOI

This code illustrates how to use DYNARE to

  • compute higher-order statistics (cumulants, moments, polyspectra up to fourth-order)
  • estimate with GMM using higher-order statistics (cumulants, moments, polyspectra up to fourth-order)
  • include Student's t distributed errors

for DSGE models solved by a perturbation approximation approach up to third-order. The HOS and GMM toolbox are both model-independent.

The main file is XRunForReplication.m