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Evaluating the information matrix in linearized DSGE models

DSGE
Fisher information matrix

Nikolay Iskrev, “Evaluating the information matrix in linearized DSGE models,” Economics Letters 99, issue 3 (2008): 607-610, doi: 10.1016/j.econlet.2007.10.016

Author
Affiliation

Nikolay Iskrev

Banco de Portugal

Published

June 2008

Doi

10.1016/j.econlet.2007.10.016

Abstract

In this note we show how the stochastic general equilibrium (DSGE) models can be evaluated analytically. The result is useful for the estimation and identification analysis of such models.

Citation

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@article{ISKREV2008607,
title = {Evaluating the information matrix in linearized DSGE models},
journal = {Economics Letters},
volume = {99},
number = {3},
pages = {607-610},
year = {2008},
issn = {0165-1765},
doi = {https://doi.org/10.1016/j.econlet.2007.10.016},
url = {https://www.sciencedirect.com/science/article/pii/S0165176507003898},
author = {Nikolay Iskrev},
keywords = {Information matrix, DSGE models, Hessian, C32, C51, C52, E32},
abstract = {In this note we show how the stochastic general equilibrium (DSGE) models can be evaluated analytically. The result is useful for the estimation and identification analysis of such models.}
}