Back to square one: Identification issues in DSGE models
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- dc.contributor.author Canova, Fabioca
- dc.contributor.author Sala, Lucaca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:50:55Z
- dc.date.available 2017-07-26T10:50:55Z
- dc.date.issued 2005-05-01
- dc.date.modified 2017-07-23T02:10:14Z
- dc.description.abstract We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. We show that observational equivalence, partial and weak identification problems are widespread, that they lead to biased estimates, unreliable t-statistics and may induce investigators to select false models. We examine whether different objective functions affect identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to detect identification failures and apply them to a state-of-the-art model.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=927
- dc.identifier.citation Journal of Monetary Economics, 56(4), 2009, 431-449
- dc.identifier.uri http://hdl.handle.net/10230/308
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 927
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword identification
- dc.subject.keyword impulse responses
- dc.subject.keyword dsge models
- dc.subject.keyword small samples
- dc.subject.keyword Macroeconomics and International Economics
- dc.title Back to square one: Identification issues in DSGE modelsca
- dc.type info:eu-repo/semantics/workingPaper