A Monte Carlo procedure for checking identification in DSGE models

We propose a numerical method, based on indirect inference, for checking the identification of a DSGE model. Monte Carlo samples are generated from the model's true structural parameters and a VAR approximation to the reduced form estimated for each sample. We then search for a different set of structural parameters that could potentially also generate these VAR parameters. If we can find such a set, the model is not identified.

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Year of publication:	2013-03
Authors:	Le, Vo Phuong Mai ; Minford, Patrick ; Wickens, Michael R.
Institutions:	C.E.P.R. Discussion Papers
Subject:	DSGE Model \| Indirect Inference \| Monte Carlo

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 9411
Classification:	C13 - Estimation ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011084568