Nason, Jim; Rossi, Barbara; Inoue, Atsushi; Hall, Alastair - Society for Economic Dynamics - SED - 2007
We propose a new Information Criterion for Impulse Response Function Matching estimators of the parameters of a structural model based on classical Minimum Distance estimation. The advantages of our procedure are that: (i) it improves the efficiency of the estimates of the model's deep...