GMM/SMM/IRF-Matching Estimation in Dynare

Image credit: Estimation: The Fine Art of Guessing by Jonathan Rasmusson

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.

We have pushed a first implementation that is able to do GMM and SMM on nonlinear DSGE models to the master branch of Dynare. Now we are working on the exact interface.

Principal Investigator & PostDoc & Open-Source Enthusiast

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