CONSISTENT VARIANCE OF THE LAPLACE‐TYPE ESTIMATORS: APPLICATION TO DSGE MODELS
研究了拉普拉斯型估计量在DSGE模型估计中，目标函数必须适当缩放才能得到有效置信区间，否则可能产生过窄的区间。
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.