GMM/SMM/IRF-Matching Estimation in Dynare

Image credit: the moment by NM3792 is licensed under CC BY-NC 2.0

In this project (joint with the Dynare Team) we plan to provide an interface for a GMM/SMM/IRF-matching toolbox at perturbation orders up to three (using pruning) in Dynare. The code adapts the GMM Estimation Toolbox of Martin M. Andreasen and is documented in my Econometrics & Statistics paper.

Principal Investigator & PostDoc & Open-Source Enthusiast

My research interests include quantitative macroeconomics, econometrics and time series analysis.