On the Sources of Information in the Moment Structure of Dynamic Macroeconomic Models
动态宏观经济模型矩结构中的参数信息来源
What features of the data are the key sources of information about the parameters in structural macroeconomic models? As such models grow in size and complexity, the answer to this question has become increasingly difficult. This article shows how to identify the main sources of parameter information across different parts of the moment structure of macroeconomic models. In particular, we propose a measure of the relative contribution of information by a given subset of…