Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - Center for Financial Studies - 2014
One of the leading methods of estimating the structural parameters of DSGE mod- els 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...
