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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.
Year of publication:
2013-03
Authors: Le, Vo Phuong Mai ; Minford, Patrick ; Wickens, Michael R.
Institutions: C.E.P.R. Discussion Papers
Subject: DSGE Model | Indirect Inference | Monte Carlo
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 9411
Classification: C13 - Estimation ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; E32 - Business Fluctuations; Cycles
Source:
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011084568
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