Back to square one: identification issues in DSGE models

Fabio Canova and Luca Sala

No 7234, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We investigate identification issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model-based impulse responses. Observational equivalence, partial and weak identification problems are widespread and typically produced by an ill-behaved mapping between the structural parameters and the coefficients of the solution. Different objective functions affect identification and small samples interact with parameters identification. Diagnostics to detect identification deficiencies are provided and applied to a widely used model.

Keywords: Dsge models; Identification; Impulse responses; Small samples. (search for similar items in EconPapers)
JEL-codes: C10 C52 E32 E50 (search for similar items in EconPapers)
Date: 2009-03
New Economics Papers: this item is included in nep-cba, nep-dge, nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (358)

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Related works:
Journal Article: Back to square one: Identification issues in DSGE models (2009)
Working Paper: Back to square one: identification issues in DSGE models (2007)
Working Paper: Back to square one: identification issues in DSGE models (2006)
Working Paper: Back to Square One: Identification Issues in DSGE Models (2006)
Working Paper: Back to square one: identification issues in DSGE models (2006)
Working Paper: Back to square one: Identification issues in DSGE models (2006)
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