Leitura do dia - Indirect Inference e DSGE Models

Como comentei abaixo com o Anderson, acho que um paper muito importante e pouco explorado na literatura de DSGE é o artigo abaixo:

Indirect Inference and Calibration od Dynamic Stochastic General Equilibrium Models.

Randam Dridi, Alain Guay e Eric Renault

Abstract

We advocate in this paper the use of a sequential partial indirect inference (SPII) approach, in order to account for calibration practice where dynamic stochastic general equilibrium models (DGSE) are studied only through their ability to reproduce some well-chosen moments. We stress that, despite a lack of statistical formalization, the controversial calibration methodology addresses a genuine issue on the consequences of misspecification in highly nonlinear and dynamic structural macro-models. We argue that a well-driven SPII strategy might be seen as a rigorous calibrationnist approach, that captures both the advantages of this approach (accounting for structural “a-statistical” ideas) and of the inferential approach (precise appraisal of loss functions and conditions of validity). This methodology should be useful for the empirical assessment of structural models such as those stemming from the real business cycle theory or the asset pricing literature.

Keywords: Calibration; Indirect inference; Structural models; Real business cycle; Asset pricing