Back to square one: identification issues in DSGE models

No 715, Working Papers from Banco de España

Abstract: We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. Observational equivalence, partial and weak identification problems are widespread and they lead to biased estimates, unreliable t-statistics and may induce investigators to select false models. We examine whether different objective functions affect identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to detect identification failures and apply them to a state-of-the-art model.

Keywords: identification; impulse responses; DSGE models; small samples (search for similar items in EconPapers)
JEL-codes: C10 C52 E32 E50 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2007-06
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/07/Fic/dt0715e.pdf First version, June 2007 (application/pdf)

Related works:
Journal Article: Back to square one: Identification issues in DSGE models (2009)
Working Paper: Back to square one: identification issues in DSGE models (2009)
Working Paper: Back to square one: identification issues in DSGE models (2006)
Working Paper: Back to Square One: Identification Issues in DSGE Models (2006)
Working Paper: Back to square one: identification issues in DSGE models (2006)
Working Paper: Back to square one: Identification issues in DSGE models (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0715

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().