This paper considers issues related to identification, inference, and computation in linearized dynamic stochastic general equilibrium (DSGE) models. We first provide a necessary and sufficient condition for the local identification of the structural parameters based on the (first and) second...

This paper considers inference in log-linearized dynamic stochastic general equilibrium (DSGE) models with weakly (including un-) identified parameters. The framework allows for analysis using only part of the spectrum, say at the business cycle frequencies. First, we characterize weak...

This paper proposes a test statistic for the null hypothesis that a given time series is a stationary long memory process against the alternative hypothesis that it is of short memory, affected by regime change or a smoothly varying trend. The proposed test is in the frequency domain and is...