Questions tagged [structural-estimation]

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Structural Estimation, Simulations, and Initial Values

I want to estimate model parameters and fear about the impact of initial values of simulations. Short model overview Consider a firm producing a homogeneous output good whose output price, $P_t$, is $...
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MLE on Structural VAR / DSGE

I have a simple DSGE model that I wish to fit using data. The model is of the form: \begin{gather} y_t = -\lambda r_t + \theta a_t + \varepsilon_1 \\ \\ \pi_t = \pi_{t-1} + w y_t + \varepsilon_2 \\ \\ ...
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Bootstrapping standard errors in SMM estimation

I have estimated a number of key parameters in a model by the Simulated Method of Moments. So far, I have computed asymptotic standard errors (that rely on computing numerical derivatives, where we ...
EconRider's user avatar
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Structural estimation

My understanding of structural estimation follows the lines beautifully lectured by Christophe Taber (U. of Wisconsin): Identify the policy question to be answered Write down a model that can ...
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Differences between LATE and Heckman Selection

I have heard that a paper by Heckman and Vytlacil demonstrate comparisons between nonparametric Heckman selection (NP Heckit) and the LATE (local average treatment effect) framework. Could someone ...
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DSGE Bayesian estimation - Sum of Squares equivalence

Say I have a DSGE that produces several observable outputs (e.g. GDP, inflation, interest rate), and I want to estimate this model using empirical data (in the form of a set of time series of the ...
Mich55's user avatar
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Difference between a structural and a causal model in economics

I was reading this sentence "As we discuss later in Section 8, IO economists have developed a variety of structural models of auction bid data. These models have been used to derive causal models ...
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What is a very very famous example of structural estimation?

I took a behavioral econ class and learnt the "structural estimation" of risk-aversion parameter. Later some friends told me that what I learnt is too simple when I was bragging about my ...
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How to compute standard errors for Blanchard-Quah-restricted SVAR?

People tell me that the way of bootstrapping standard errors in the original paper is incorrect, but then how should I do it? Is there a convention of how to compute standard errors for Blanchard-...
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Estimation of learning model with finite horizon forward-looking individuals

I am stuck with the estimation of learning model where individuals are forward-looking in a finite horizon. Specially, a user is watching a TV program containing many episodes, and he doesn't know the ...
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Structural estimation based on simulated data

I wrote down a structural demand model, simulated data for exogenous variables (product features and consumer characteristics), and generated data for endogenous variables (observed consumption ...
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