English, Article, Journal or magazine article edition: Back to square one: identification issues in DSGE models Fabio Canova; Luca Sala

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Bookmark: http://trove.nla.gov.au/version/154731
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Back to Square One: Identification Issues in DSGE Models
Author
  • Fabio Canova
  • Luca Sala
Physical Description
  • preprint
Notes
  • RePEc:sce:scecfa:196
  • RePEc:upf:upfgen:927
  • 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.
  • identification; DSGE models.
  • RePEc:ecb:ecbwps:20060583
  • 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. Observational equivalence, partial and weak identification problems are widespread and 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.
  • identification, impulse responses, DSGE models, small samples
  • RePEc:bde:wpaper:0715
  • RePEc:igi:igierp:303
Language
  • English
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