This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Back to square one: identification issues in DSGE models Author info | Abstract | Publisher info | Download info | Related research | Statistics Fabio Canova () (Universitat Pompeu Fabra, Departament d‘Economia i Impresa, Ramon Trias Fargas 25-27, 08005 Barcelona, Spain. )
Luca Sala () (IGIER - Università Bocconi, Via Salasco 5, 20136 Milan, Italy. )
Additional information is available for the following
registered author(s):
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. JEL Classification: C13; C51; C52; E32.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by European Central Bank in its series Working Paper Series with number
583.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length: 46 pages
Date of creation: Jan 2006Date of revision:
Handle: RePEc:ecb:ecbwps:20060583Contact details of provider: Postal: Postfach 16 03 19, Frankfurt am Main, Germany Phone: +49 69 1344 0 Fax: +49 69 1344 6000 Web page: http://www.ecb.europa.eu/home/html/index.en.html More information through EDIRC
Order Information: Postal: Press and Information Division, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany Email:
For technical questions regarding this item, or to correct its listing, contact: (Official Publications).
Keywords: identification DSGE models. Other versions of this item:
Paper Fabio Canova & Luca Sala, .
"Back to Square One: Identification Issues in DSGE Models ,"
Working Papers
303, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!] Fabio Canova & Luca Sala, 2005.
"Back to square one: identification issues in DSGE models ,"
Economics Working Papers
927, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2006.
[Downloadable!] Fabio Canova & Luca Sala, 2006.
"Back to square one: identification issues in DSGE models ,"
Computing in Economics and Finance 2006
196, Society for Computational Economics.
[Downloadable!] Fabio Canova & Luca Sala, 2007.
"Back to square one: identification issues in DSGE models ,"
Banco de España Working Papers
0715, Banco de España.
[Downloadable!] References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Timothy Cogley & Riccardo Colacito & Thomas J. Sargent, 2007.
"Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 39(s1), pages 67-99, 02.
[Downloadable!] (restricted)
Cragg, John G. & Donald, Stephen G., 1997.
"Inferring the rank of a matrix ,"
Journal of Econometrics ,
Elsevier, vol. 76(1-2), pages 223-250.
[Downloadable!] (restricted)
Neely, Christopher J & Roy, Amlan & Whiteman, Charles H, 2001.
"Risk Aversion versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 19(4), pages 395-403, October.
Andreas Beyer & Roger E. A. Farmer, 2004.
"On the Indeterminacy of New-Keynesian Economics ,"
Computing in Economics and Finance 2004
152, Society for Computational Economics.
[Downloadable!]
Other versions: Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004.
"Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood ,"
PIER Working Paper Archive
04-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
[Downloadable!]
Other versions: Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996.
"Finite-Sample Properties of Some Alternative GMM Estimators ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 14(3), pages 262-80, July.
Sims, Christopher A, 1980.
"Macroeconomics and Reality ,"
Econometrica ,
Econometric Society, vol. 48(1), pages 1-48, January.
[Downloadable!] (restricted)
Fabio Canova & Luca Sala, 2005.
"Back to square one: identification issues in DSGE models ,"
Economics Working Papers
927, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2006.
[Downloadable!]
Other versions:
Fabio Canova & Luca Sala, .
"Back to Square One: Identification Issues in DSGE Models ,"
Working Papers
303, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!] Fabio Canova & Luca Sala, 2006.
"Back to square one: identification issues in DSGE models ,"
Computing in Economics and Finance 2006
196, Society for Computational Economics.
[Downloadable!] Fabio Canova & Luca Sala, 2006.
"Back to square one: identification issues in DSGE models ,"
Working Paper Series
583, European Central Bank.
[Downloadable!] Fabio Canova & Luca Sala, 2007.
"Back to square one: identification issues in DSGE models ,"
Banco de España Working Papers
0715, Banco de España.
[Downloadable!] V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2005.
"A critique of structural VARs using real business cycle theory ,"
Working Papers
631, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions: Pesaran, M. H., 1981.
"Identification of rational expectations models ,"
Journal of Econometrics ,
Elsevier, vol. 16(3), pages 375-398, August.
[Downloadable!] (restricted)
Smith, A A, Jr, 1993.
"Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 8(S), pages S63-84, Suppl. De.
[Downloadable!] (restricted)
Pau Rabanal & Jordi GalÃ, 2005.
"Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Postwar U.S. Data? ,"
IMF Working Papers
04/234, International Monetary Fund.
[Downloadable!]
Other versions: James H. Stock & Jonathan Wright, 2000.
"GMM with Weak Identification ,"
Econometrica ,
Econometric Society, vol. 68(5), pages 1055-1096, September.
Rabanal, Pau & Rubio-Ramirez, Juan F., 2005.
"Comparing New Keynesian models of the business cycle: A Bayesian approach ,"
Journal of Monetary Economics ,
Elsevier, vol. 52(6), pages 1151-1166, September.
[Downloadable!] (restricted)
James M. Nason & Gregor W. Smith, 2005.
"Identifying the New Keynesian Phillips Curve ,"
Working Paper
2005-01, Federal Reserve Bank of Atlanta.
[Downloadable!]
Other versions:
James M. Nason & Gregor W. Smith, 2005.
"Identifying the New Keynesian Phillips Curve ,"
Working Papers
1026, Queen's University, Department of Economics.
[Downloadable!] James M. Nason & Gregor W. Smith, 2008.
"Identifying the new Keynesian Phillips curve ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
[Downloadable!] Timothy Cogley & Thomas Sargent & Riccardo Colacito, 2005.
"Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson ,"
2005 Meeting Papers
791, Society for Economic Dynamics.
[Downloadable!]
Wright, Jonathan H., 2003.
"Detecting Lack Of Identification In Gmm ,"
Econometric Theory ,
Cambridge University Press, vol. 19(02), pages 322-330, January.
[Downloadable!]
Choi, In & Phillips, Peter C. B., 1992.
"Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations ,"
Journal of Econometrics ,
Elsevier, vol. 51(1-2), pages 113-150.
[Downloadable!] (restricted)
Other versions: Peter N. Ireland, 2004.
"Technology Shocks in the New Keynesian Model ,"
The Review of Economics and Statistics ,
MIT Press, vol. 86(4), pages 923-936, 01.
[Downloadable!] (restricted)
Other versions: Kim, Jinill, 2003.
"Functional equivalence between intertemporal and multisectoral investment adjustment costs ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 27(4), pages 533-549, February.
[Downloadable!] (restricted)
Frank Smets & Raf Wouters, 2003.
"An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area ,"
Journal of the European Economic Association ,
MIT Press, vol. 1(5), pages 1123-1175, 09.
[Downloadable!] (restricted)
Other versions: Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002.
"A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(4), pages 518-29, October.
David E. Altig & Lawrence J. Christiano & Martin Eichenbaum & Jesper Linde, 2004.
"Firm-specific capital, nominal rigidities, and the business cycle ,"
Working Paper
0416, Federal Reserve Bank of Cleveland.
[Downloadable!]
Other versions:
Altig, David & Christiano, Lawrence & Eichenbaum, Martin & Lindé, Jesper, 2004.
"Firm-Specific Capital, Nominal Rigidities and the Business Cycle ,"
Working Paper Series
176, Sveriges Riksbank (Central Bank of Sweden).
[Downloadable!] Altig, David E & Christiano, Lawrence J. & Eichenbaum, Martin & Lindé, Jesper, 2005.
"Firm-Specific Capital, Nominal Rigidities and the Business Cycle ,"
CEPR Discussion Papers
4858, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) David Altig & Lawrence Christiano & Martin Eichenbaum & Jesper Linde, 2005.
"Firm-Specific Capital, Nominal Rigidities and the Business Cycle ,"
NBER Working Papers
11034, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) David Altig & Lawrence J. Christiano & Martin Eichenbaum & Jesper Linde, 2004.
"Firm-specific capital, nominal rigidities and the business cycle ,"
Working Paper Series
WP-05-01, Federal Reserve Bank of Chicago.
[Downloadable!] Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2006.
"Assessing Structural VARs ,"
NBER Working Papers
12353, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Sargent, Thomas J, 1978.
"Estimation of Dynamic Labor Demand Schedules under Rational Expectations ,"
Journal of Political Economy ,
University of Chicago Press, vol. 86(6), pages 1009-44, December.
[Downloadable!] (restricted)
Other versions: Ellen R. McGrattan, 2006.
"Real business cycles ,"
Staff Report
370, Federal Reserve Bank of Minneapolis.
[Downloadable!]
An, Sungbae & Schorfheide, Frank, 2005.
"Bayesian Analysis of DSGE Models ,"
CEPR Discussion Papers
5207, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Luca Dedola & Stefano Neri, 2006.
"What does a technology shock do? A VAR analysis with model-based sign restrictions ,"
Temi di discussione (Economic working papers)
607, Bank of Italy, Economic Research Department.
[Downloadable!]
Other versions:
Luca Dedola & Stefano Neri, 2006.
"What does a technology shock do? A VAR analysis with model-based sign restrictions ,"
Working Paper Series
705, European Central Bank.
[Downloadable!] Dedola, Luca & Neri, Stefano, 2004.
"What Does A Technology Shock Do? A VAR Analysis with Model-based Sign Restrictions ,"
CEPR Discussion Papers
4537, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Dedola, Luca & Neri, Stefano, 2007.
"What does a technology shock do? A VAR analysis with model-based sign restrictions ,"
Journal of Monetary Economics ,
Elsevier, vol. 54(2), pages 512-549, March.
[Downloadable!] (restricted) Juan F. Rubio-Ramirez & Jesus Fernández-Villaverde, 2005.
"Estimating dynamic equilibrium economies: linear versus nonlinear likelihood ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 20(7), pages 891-910.
[Downloadable!]
Thomas A. Lubik & Frank Schorfheide, 2004.
"Testing for Indeterminacy: An Application to U.S. Monetary Policy ,"
American Economic Review ,
American Economic Association, vol. 94(1), pages 190-217, March.
[Downloadable!] (restricted)
Other versions: Rothenberg, Thomas J, 1971.
"Identification in Parametric Models ,"
Econometrica ,
Econometric Society, vol. 39(3), pages 577-91, May.
[Downloadable!] (restricted)
Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001.
"Nominal rigidities and the dynamic effects of a shock to monetary policy ,"
Working Paper
0107, Federal Reserve Bank of Cleveland.
[Downloadable!]
Other versions:
Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001.
"Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy ,"
NBER Working Papers
8403, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2001.
"Nominal rigidities and the dynamic effects of a shock to monetary policy ,"
Working Paper Series
WP-01-08, Federal Reserve Bank of Chicago.
[Downloadable!] Lawrence J. Christiano, Martin Eichenbaum, and Charles L. Evans, 2005.
"Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy ,"
Journal of Political Economy ,
University of Chicago Press, vol. 113(1), pages 1-45, February.
Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001.
"Nominal rigidities and the dynamic effects of a shock to monetary policy ,"
Proceedings ,
Federal Reserve Bank of San Francisco, issue Jun.
[Downloadable!] Kennan, John, 1988.
"An Econometric Analysis of Fluctuations in Aggregate Labor Supply and Demand ,"
Econometrica ,
Econometric Society, vol. 56(2), pages 317-33, March.
[Downloadable!] (restricted)
Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996.
"Impulse response analysis in nonlinear multivariate models ,"
Journal of Econometrics ,
Elsevier, vol. 74(1), pages 119-147, September.
[Downloadable!] (restricted)
Ma, Adrian, 2002.
"GMM estimation of the new Phillips curve ,"
Economics Letters ,
Elsevier, vol. 76(3), pages 411-417, August.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.) This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page .
Access and
download statistics Did you know? You too can volunteer for RePEc, for example by providing information about publications in your institution.
This page was last updated on 2008-9-24.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .