Back to square one: Identification issues in DSGE models

• 成果类型: Article
• 署名作者: Canova, Fabio; Sala, Luca
• 署名单位: Pompeu Fabra University; ICREA; Centre de Recerca en Economia Internacional (CREI); Bocconi University; Bocconi University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.03.014
• 发表日期: 2009
• 页码: 431-449
• 关键词: identification; impulse responses; DSGE models; Small samples

摘要

We investigate identification issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model-based impulse responses. Observational equivalence, partial and weak identification problems are widespread and typically produced by an ill-behaved mapping between the structural parameters and the coefficients of the solution. Different objective functions affect identification and small samples interact with parameters identification. Diagnostics to detect identification deficiencies are provided and applied to a widely used model. (C) 2009 Elsevier B.V. All rights reserved.