Palgrave Handbook of Econometrics: Applied Econometrics

72 How much Structure in Empirical Models? be equivalently written in a restricted state space format: x 1 t=J(θ)x 1 t− 1 +K(θ)e ...

Fabio Canova 73 How does one select theθvector used in simulation exercises? Until a few years ago, it was common to calibrateθs ...

74 How much Structure in Empirical Models? structural parameters because the sample does not contain enough information to inver ...

Fabio Canova 75 practice of obtaining estimates using optimization routines which constrain the search of the maximum to an inte ...

76 How much Structure in Empirical Models? that these features may be indistinguishable when one looks just at normalized impuls ...

Fabio Canova 77 the distances of all the responses to only one type of shock, the distance of the responses of a sub-set of the ...

78 How much Structure in Empirical Models? 0.980.9850.99 0 2 4 6 8 x 10 β = 0.985 0.980.9850.99 0 2 4 6 8 –3 x 10–3 –3 0.980.985 ...

Fabio Canova 79 1.2 1.4 1 1.6 1.8 1.5 –0.04 –0.02 0 λπ λ π Monetary shocks λy λy 1.2 1.4 1.6 1.8 1 1.5 –20 –10 0 All shocks 0.96 ...

80 How much Structure in Empirical Models? 0.6 0.8 0.96 0.98 –2 –2 –1 0 ω Distance, all shocks β 0.6 0.8 0.96 0.98 –1060 –1055 – ...

Fabio Canova 81 0.6 0.8 0.96 0.98 –2 –2 –1 0 ω Distance, all shocks β 0.6 0.8 0.96 0.98 –1060 –1055 –1050 ω Likelihood, all shoc ...

82 How much Structure in Empirical Models? distribution of the structural parameters, which is proportional to the likelihood ti ...

Fabio Canova 83 with problematic identification features and, on the other, to examine whether additional identification problem ...

84 How much Structure in Empirical Models? those obtained with the true one. Hence, it is generally unwise to attach any economi ...

Fabio Canova 85 gradient or the Hessian display problematic features. Furthermore, it can be shown that population responses fal ...

86 How much Structure in Empirical Models? Bayesian methods have an edge in structural estimation when model misspecifi- cation ...

Fabio Canova 87 Canova and Pina (2005) have shown that delay-type restrictions do not naturally arise in general equilibrium mod ...

88 How much Structure in Empirical Models? 2.3.1 Invertibility IfM(θ)is a square matrix, and ifJ(θ)−K(θ)M(θ)−^1 N(θ)has a conver ...

Fabio Canova 89 economy to its steady-state when perturbed by shocks depends on the details of the specification. Therefore, it ...

90 How much Structure in Empirical Models? while such an issue should be kept in mind, its practical relevance appears to be lim ...

Fabio Canova 91 To conclude, we present two examples below illustrating the issues we have discussed in this section. In the fir ...