Per accedir als documents amb el text complet, si us plau, seguiu el següent enllaç: http://hdl.handle.net/10230/308

Back to square one: Identification issues in DSGE models
Canova, Fabio; Sala, Luca
Universitat Pompeu Fabra. Departament d'Economia i Empresa
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. We show that observational equivalence, partial and weak identification problems are widespread, that 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.
01-03-2006
Macroeconomics and International Economics
identification
impulse responses
dsge models
small samples
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
Document de treball
         

Mostra el registre complet del document