A Monte Carlo procedure for checking identification in DSGE models

Le, Vo Phuong Mai, Minford, Patrick and Wickens, Michael ORCID: https://orcid.org/0000-0002-6862-0674 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:	28 Oct 2022 10:21
URI:	https://orca.cardiff.ac.uk/id/eprint/77989

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