Identification-robust analysis of DSGE and structural macroeconomic models

Jean-Marie Dufour (), Lynda Khalaf and Maral Kichian

Journal of Monetary Economics, 2013, vol. 60, issue 3, 340-350

Abstract: Full- and limited-information identification-robust methods are proposed for structural systems, notably DSGE models, which are valid whether identification is weak or strong, theory-intrinsic or data-specific. The proposed methods are applied to a standard New Keynesian system for the U.S. Single- and multi-equation estimation and fit are also compared. When a unique rational-expectation stable equilibrium is imposed, the model is rejected. In contrast, limited-information inference produces informative results regarding forward-looking behavior in the NKPC and precise conclusions on feedback coefficients in the reaction function, which cannot be reached via single-equation methods.

Date: 2013
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:60:y:2013:i:3:p:340-350

DOI: 10.1016/j.jmoneco.2013.02.001

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