One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … matching estimator. The existing asympotic theory for this estimator does not cover situations in which the number of impulse … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …

fluctuations in the UK data as well as an unrestricted VAR(1) does. …

AutoRegression (VAR) and a fully structural Dynamic Stochastic General Equilibrium (DSGE) model, at forecasting financial returns. We … show that the DSGE model outperforms the unrestricted VAR at forecasting financial returns in the long term and generates …