Method of Moments (GMM and SMM) Estimation in Dynare 4.7 and 5 скачать в хорошем качестве

Method of Moments (GMM and SMM) Estimation in Dynare 4.7 and 5

This video covers the Method of Moments Toolbox of Dynare We'll go through some theoretical concepts and have a look at some examples that showcase both Simulated Method of Moments as well as Generalized Method of Moments estimation for DSGE models solved with k-order perturbation. We also cover the options that you can choose. Time-stamps 0:00 Motivation and Scope of the Toolbox Computing moments in Dynare 1:50 Dynare's model framework 3:52 How to compute moments? 4:32 First-order perturbation approximation 5:55 Higher-order perturbation approximation (there is a problem of explosiveness) 7:25 Pruning 7:50 Univariate example to derive pruned state-space system 11:25 Pruned State Space System Method of Moments 12:15 Basic idea 13:47 Simulated Method of Moments 18:01 Generalized Method of Moments 20:41 Overidentification tests 20:55 Comparison to full-information methods 22:07 Penalized Method of Moments Dynare Implementation 23:24 Overview interfaces and commands 24:10 matched_moments block 25:05 method_of_moments command 29:57 Example: RBC model