Identification-robust analysis of DSGE and structural macroeconomic models

• 成果类型: Article
• 署名作者: Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral
• 署名单位: McGill University; Carleton University; University of Ottawa; University of Ottawa; Bank of Canada
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.02.001
• 发表日期: 2013
• 页码: 340-350

摘要

Full- and limited-information identification-robust methods are proposed for structural systems, notably DSGE models, which are valid whether identification is weak or strong, theory-intrinsic or data-specific. The proposed methods are applied to a standard New Keynesian system for the U.S. Single- and multi-equation estimation and fit are also compared. When a unique rational-expectation stable equilibrium is imposed, the model is rejected. In contrast, limited-information inference produces informative results regarding forward-looking behavior in the NKPC and precise conclusions on feedback coefficients in the reaction function, which cannot be reached via single-equation methods. Crown Copyright (C) 2013 Published by Elsevier B.V. All rights reserved.