EconPapers    
Economics at your fingertips  
 

Identification of DSGE Models - the Effect of Higher-Order Approximation and Pruning

Willi Mutschler ()

No 3314, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: Several formal methods have been proposed to check local identification in linearized DSGE models using rank criteria. Recently there has been huge progress in the estimation of non-linear DSGE models, yet formal identification criteria are missing. The contribution of the paper is threefold: First, we extend the existent methods to higher-order approximations and establish rank criteria for local identification given the pruned state-space representation. It is shown that this may improve overall identification of a DSGE model via imposing additional restrictions on the moments and spectrum. Second, we derive analytical derivatives of the reduced-form matrices, unconditional moments and spectral density for the pruned state-space system. Third, using a second-order approximation, we are able to identify previously non-identifiable parameters: namely the parameters governing the investment adjustment costs in the Kim (2003) model and all parameters in the An and Schorfheide (2007) model, including the coeffcients of the Taylor-rule.

Keywords: non-linear DSGE; rank condition; analytical derivatives; pruned state-space (search for similar items in EconPapers)
JEL-codes: C10 C51 C52 E1 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2014-10
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://www.wiwi.uni-muenster.de/cqe/sites/cqe/fil ... r/CQE_WP_33_2014.pdf Version of October, 2014 (application/pdf)

Related works:
Journal Article: Identification of DSGE models—The effect of higher-order approximation and pruning (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:3314

Access Statistics for this paper

More papers in CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster Am Stadtgraben 9, 48143 Münster, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Susanne Deckwitz ().

 
Page updated 2020-07-20
Handle: RePEc:cqe:wpaper:3314