A Monte Carlo procedure for checking identification in DSGE models

Vo Phuong Mai Le, A. Patrick Minford and Michael Wickens

No E2013/4, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: 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.

Keywords: Identification; DSGE model; Monte Carlo; Indirect Inference (search for similar items in EconPapers)
JEL-codes: C13 C51 C52 E32 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2013-03
New Economics Papers: this item is included in nep-cmp and nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Journal Article: A Monte Carlo procedure for checking identification in DSGE models (2017)
Working Paper: A Monte Carlo procedure for checking identification in DSGE models (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:cdf:wpaper:2013/4

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