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Estimating Nonlinear DSGE Models with Moments Based Methods.pdf
Front．Econ．China2015，10(1)：38-55
DOI10．3868／s060—004—015-0003—5
IvashchenkoSergey
EstimatingNonlinearDSGEModelswith
MomentsBasedMethods
Abstract Thisarticlesuggestsanew approachto approximatingmomentsfor
nonlinearDSGEmodels．ThisapproachiSfastandsufficientlyaccuratetoestimate
nonlineraDSGEmodels．A smallfinancialDSGEmodelisrepeatedlyestimatedby
severalmodificationsofthesuggestedapproach．Approximationsofthemoments
areclosetotheresultsofhtelargesampleM onteCadoestimation．Th equalityof
praameter estimation using our suggested approach isclose to the Central
DifferenceKalmnaFilter(CDK
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