A Monte Carlo procedure for checking identification in DSGE models

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

No 9411, CEPR Discussion Papers from Centre for Economic Policy Research

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: Dsge model; indirect inference; Monte carlo (search for similar items in EconPapers)
JEL-codes: C13 C51 C52 E32 (search for similar items in EconPapers)
Date: 2013-03
New Economics Papers: this item is included in nep-dge and nep-ecm
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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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