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A Monte Carlo procedure for checking identification in DSGE models

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Author Info

  • Le, Vo Phuong Mai

    ()
    (Cardiff Business School)

  • Minford, Patrick

    ()
    (Cardiff Business School)

  • Wickens, Michael

    ()
    (Cardiff Business School)

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.

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Bibliographic Info

Paper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2013/4.

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Length: 20 pages
Date of creation: Mar 2013
Date of revision:
Handle: RePEc:cdf:wpaper:2013/4

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Related research

Keywords: Identification; DSGE model; Monte Carlo; Indirect Inference;

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Cited by:
  1. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2012. "What causes banking crises? An empirical investigation," CEPR Discussion Papers 9057, C.E.P.R. Discussion Papers.
  2. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael R., 2012. "Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments," CEPR Discussion Papers 9056, C.E.P.R. Discussion Papers.

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