The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
研究了高阶扰动近似下DSGE模型的修剪状态空间系统，证明了其三阶近似的稳定性，并给出了矩和脉冲响应的闭式表达式，为GMM和脉冲响应匹配估计提供了基础。
This article studies the pruned state-space system for higher-order perturbation approximations to dynamic stochastic general equilibrium (DSGE) models.We show the stability of the pruned approximation up to third order and provide closed-form expressions for first and second unconditional moments and impulse response functions. Our results introduce generalized method of moments (GMM) estimation and impulse-response matching for DSGE models approximated up to third order and provide a foundation for indirect inference and simulated method of moments (SMM). As an application, we consider a New Keynesian model with Epstein-Zin preferences and two novel feedback effects from long-term bonds to the real economy, allowing us to match the level and variability of the 10-year term premium in the U.S. with a low relative risk aversion of 5.