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A Monte Carlo procedure for checking identification in DSGE models

Le, Vo Phuong Mai, Minford, Patrick and Wickens, Michael 2013. A Monte Carlo procedure for checking identification in DSGE models. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

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Abstract

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.

Item Type: Monograph (Working Paper)
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HB Economic Theory
Publisher: Cardiff University
Date of First Compliant Deposit: 30 March 2016
Last Modified: 04 Jun 2017 08:26
URI: http://orca.cardiff.ac.uk/id/eprint/77989

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