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DSGE pileups

Stephen D. Morris

Journal of Economic Dynamics and Control, 2017, vol. 74, issue C, 56-86

Abstract: The sampling distribution of estimators for DSGE structural parameters tends to be non-normal and/or pile up on the boundary of the theoretically admissible parameter space. This calls into question both the reliability of asymptotic approximations and the presumption of correct specification. This paper seeks to develop a conceptual framework for understanding how these phenomena arise, and to provide pragmatic methods for dealing with them in practice. The results are presented in three examples and a medium scale DSGE model.

Keywords: Global identification; Maximum likelihood estimation; Posterior probability (search for similar items in EconPapers)
JEL-codes: C32 C51 E12 E52 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.jedc.2016.11.002

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