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:	2013-03
Authors:	Le, Vo Phuong Mai ; Minford, A. Patrick L. ; Wickens, Michael R.
Institutions:	Economics Section, Cardiff Business School
Subject:	Identification \| DSGE model \| Monte Carlo \| Indirect Inference

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Extent:	application/pdf
Series:	Cardiff Economics Working Papers. - ISSN 1749-6101.
Type of publication:	Book / Working Paper
Notes:	Number E2013/4 20 pages
Classification:	C13 - Estimation ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010763977