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 C.E.P.R. Discussion Papers

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
References: View references in EconPapers View complete reference list from CitEc
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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