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...

, which can be zero, stable cointegrating vectors against the alternative hypothesis of more than r₀ cointegrating vectors existing in some subsample. The tests proposed follow Breitung (2002). They are non-parametric in nature and are invariant to linear transformations of the series. A...

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...