EconPapers    
Economics at your fingertips  
 

Global identification of linearized DSGE models

Andrzej Kociecki () and Marcin Kolasa ()

No 170, NBP Working Papers from Narodowy Bank Polski, Economic Research Department

Abstract: This paper introduces a time domain framework to analyze global identification of stochastically nonsingular DSGE models. A formal identification condition is established that relies on the restrictions linking the observationally equivalent minimal state space representations and on the inherent constraints imposed by them on deep model parameters. We next develop an algorithm that checks global identification by searching for observationally equivalent model parametrizations. The algorithm is efficient as the identification conditions it employs shrink considerably the space of candidate deep parameter points and does not require solving the model at each of these points. We also derive two complementary necessary conditions for global identification. Their usefulness and the working of the algorithm are illustrated with an example.

Keywords: global identification; DSGE models (search for similar items in EconPapers)
JEL-codes: C13 C51 E32 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Downloads: (external link)
http://www.nbp.pl/publikacje/materialy_i_studia/170_en.pdf (application/pdf)

Related works:
Journal Article: Global identification of linearized DSGE models (2018) 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:nbp:nbpmis:170

Access Statistics for this paper

More papers in NBP Working Papers from Narodowy Bank Polski, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Zbigniew Polański ().

 
Page updated 2019-07-15
Handle: RePEc:nbp:nbpmis:170