Consistent variance of the laplace-type estimators: : Application to DSGE models

• Autores: Anna Kormilitsina, Denis Nekipelov
• Localización: International economic review, ISSN-e 1468-2354, Vol. 57, Nº. 2, 2016, págs. 603-622
• Idioma: inglés
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• Resumen

  • The Laplace-type estimator has become popular in applied macroeconomics, in particular for estimation of dynamic stochastic general equilibrium (DSGE) models. It is often obtained as the mean and variance of a parameter's quasi-posterior distribution, which is defined using a classical estimation objective. We demonstrate that the objective must be properly scaled; otherwise, arbitrarily small confidence intervals can be obtained if calculated directly from the quasi-posterior distribution. We estimate a standard DSGE model and find that scaling up the objective may be useful in estimation with problematic parameter identification. It this case, however, it is important to adjust the quasi-posterior variance to obtain valid confidence intervals.