Back to square one: identification issues in DSGE models

Fabio Canova and Luca Sala ()

No 196, Computing in Economics and Finance 2006 from Society for Computational Economics

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

Keywords: identification; dsge models (search for similar items in EconPapers)
JEL-codes: C13 C51 C52 (search for similar items in EconPapers)
Date: 2006-07-04
New Economics Papers: this item is included in nep-cba, nep-dge and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (68)

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http://repec.org/sce2006/up.22349.1140538901.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)
Working Paper: Back to square one: Identification issues in DSGE models (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:196

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