Martin Fukac and Adrian Pagan, "Limited Information Estimation of DSGE Models," Journal of Applied Econometrics, Vol. 25, No. 1, 2010, pp. 55-70. This file describes the steps to replicate results from this paper. There are three sets of results reported in the paper: (i) full information (FI), (ii) limited information, and (iii) combined LI and FI (LI/FI) estimates of the Phillips curve parameters. The FI results are taken from Lubik and Schorfheide (2007, JME). LI/FI and LI results were obtained using DYNARE version 3.065, which is downloadable from http://www.cepremap.cnrs.fr/dynare/. The files below are executable in MATLAB: dynare "name".mod LI/FI estimates: LIFI_bayes.mod, LS_simul.mod ================ We take the FI estimates to calculate the implied VAR parameters. The VAR parameters are calculated from the output of LS_simul.mod. These are then used to calibrate values in LIFI_bayes.mod. Conditional on these values, we estimate the parameters of interest (alpha, kappa, tau). LI estimation: LI_bayes.mod, VARX_mle.mod ============== alpha, kappa, and tau are estimated together with VARX. The starting values for the VARX parameters come from maximum likelihood estimation (VARX_mle.mod). Data are in the file NEWUKDAT.m. That file and the four .mod files, which are all ASCII files in DOS format, are zipped in the file fp-files.zip. Unix/Linux users should use "unzip -a".