Limited information estimation and evaluation of DSGE models
主张DSGE模型不应只用完全信息方法估计和评估，有限信息方法（聚焦特定方程）是重要补充，并解决了前瞻性预期和不可观测非平稳变量两大难题，用知名模型演示了两种方法的互动。
Abstract We advance the proposition that dynamic stochastic general equilibrium (DSGE) models should not only be estimated and evaluated with full information methods. These require that the complete system of equations be specified properly. Some limited information analysis, which focuses upon specific equations, is therefore likely to be a useful complement to full system analysis. Two major problems occur when implementing limited information methods. These are the presence of forward‐looking expectations in the system as well as unobservable non‐stationary variables. We present methods for dealing with both of these difficulties, and illustrate the interaction between full and limited information methods using a well‐known model. Copyright © 2009 John Wiley & Sons, Ltd.