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A Monte Carlo procedure for checking identification in DSGE models

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  • Le, Vo Phuong Mai
  • Minford, Patrick
  • Wickens, Michael R.

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 C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 9411.

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Date of creation: Mar 2013
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Handle: RePEc:cpr:ceprdp:9411

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Keywords: DSGE Model; Indirect Inference; Monte Carlo;

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Cited by:
  1. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2012. "What causes banking crises? An empirical investigation," Cardiff Economics Working Papers E2012/14, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2013.
  2. Andrzej Kociecki & Marcin Kolasa, 2013. "Global identification of linearized DSGE models," National Bank of Poland Working Papers 170, National Bank of Poland, Economic Institute.
  3. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2012. "Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments," Cardiff Economics Working Papers E2012/15, Cardiff University, Cardiff Business School, Economics Section.

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