A Monte Carlo procedure for checking identification in DSGE models

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

Journal of Economic Dynamics and Control, 2017, vol. 76, issue C, 202-210

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. The test is both an alternative to using the rank condition and also can establish whether there is empirically weak identification.

Keywords: Identification; Indirect inference; Monte Carlo; VAR; Reduced form (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 E32 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Related works:
Working Paper: A Monte Carlo procedure for checking identification in DSGE models (2013)
Working Paper: A Monte Carlo procedure for checking identification in DSGE models (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:76:y:2017:i:c:p:202-210

DOI: 10.1016/j.jedc.2017.01.009

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