Back to square one: identification issues in DSGE models

Fabio Canova and Luca Sala

No 583, Working Paper Series from European Central Bank

Abstract: We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. We show that observational equivalence, partial and weak identification problems are widespread, that they lead to biased estimates, unreliable t-statistics and may induce investigators to select false models. We examine whether different objective functions affect identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to detect identification failures and apply them to a state-of-the-art model. JEL Classification: C13, C51, C52, E32

Keywords: DSGE models; identification (search for similar items in EconPapers)
Date: 2006-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (74)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp583.pdf (application/pdf)

Related works:
Journal Article: Back to square one: Identification issues in DSGE models (2009)
Working Paper: Back to square one: identification issues in DSGE models (2009)
Working Paper: Back to square one: identification issues in DSGE models (2007)
Working Paper: Back to Square One: Identification Issues in DSGE Models (2006)
Working Paper: Back to square one: identification issues in DSGE models (2006)
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:ecb:ecbwps:2006583

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().