"Estimation of DSGE models by non-Gaussian Vector Autoregressions" (with Damiano Di Francesco, Mario Martinoli, Raffaello Seri)
Abstract: "We propose a new impulse response matching procedure for estimating the parameters of a dynamic stochastic general equilibrium (DSGE) model from observed macroeconomic time series. Our estimator hinges on an indirect inference approach in which the auxiliary model is a structural vector autoregressive (SVAR) model. The SVAR model is identified using independent component analysis. A specificity of our approach is that, by using a minimum distance index, we exploit the non-Gaussianity of the observed data, but we allow the model-simulated data to be Gaussian. We derive the asymptotic properties of the estimator and we conduct a Monte Carlo simulation to study the performance of the proposed procedure. Finally, we present an application to a simple Keynesian DSGE model." (Paper available upon request)
"High-level Causation and Causal Inference" (with Lorenzo Casini)
"Ill-defined Variables and Instrument Validity" (with Lorenzo Casini)
"Identification of one independent shock in structural VARs" (with Gabriele Fiorentini and Francesca Papagni) [link]
"Explaining Glacial Dynamics with Singular and Non-Gaussian Vector Autoregressions" (with David Stern)