A Monte Carlo procedure for checking identification in DSGE models

We propose a numerical method, based on indirect inference, for checking the identification of a DSGE model. Monte Carlo samples are generated from the model's true structural parameters and a VAR approximation to the reduced form estimated for each sample. We then search for a different set of structural parameters that could potentially also generate these VAR parameters. If we can find such a set, the model is not identified.

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Year of publication:	2013
Authors:	Le, Vo Phuong Mai ; Minford, Patrick ; Wickens, Michael
Publisher:	Cardiff : Cardiff University, Cardiff Business School
Subject:	Dynamisches Gleichgewicht \| Modellierung \| Monte-Carlo-Methode \| Theorie \| identification \| DSGE model \| Monte Carlo \| indirect inference

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Series:	Cardiff Economics Working Papers ; E2013/4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	745437486 [GVK] hdl:10419/101120 [Handle]
Classification:	C13 - Estimation ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; E32 - Business Fluctuations; Cycles
Source:	EconStor

Persistent link: https://www.econbiz.de/10010397720