IDEAS home Printed from https://ideas.repec.org/p/ecb/ecbwps/20101235.html
   My bibliography  Save this paper

A note on identification patterns in DSGE models

Author

Listed:
  • Andrle, Michal

Abstract

This paper comments on selected aspects of identification issues of DSGE models. It suggests the singular value decomposition (SVD) as a useful tool for detecting local weak and non-identification. This decomposition is useful for checking rank conditions of identification, identification strength, and it also offers parameter space ‘identification patterns’. With respect to other methods of identification the singular value decomposition is particularly easy to apply and offers an intuitive interpretation. We suggest a simple algorithm for analyzing identification and an algorithm for finding a set of the most identifiable set of parameters. We also demonstrate that the use of bivariate and multiple correlation coefficients of parameters provides only limited check of identification problems. JEL Classification: F31, F41

Suggested Citation

  • Andrle, Michal, 2010. "A note on identification patterns in DSGE models," Working Paper Series 1235, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20101235
    as

    Download full text from publisher

    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1235.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Zellner, Arnold, 1985. "Bayesian Econometrics," Econometrica, Econometric Society, vol. 53(2), pages 253-269, March.
    2. Kilian, Lutz & Inoue, Atsushi & Guerron-Quintana, Pablo A., 2009. "Frequentist Inference in Weakly Identified DSGE Models," CEPR Discussion Papers 7447, C.E.P.R. Discussion Papers.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Evren Caglar & Jagjit S. Chadha & Katsuyuki Shibayama, 2011. "Bayesian Estimation of DSGE models: Is the Workhorse Model Identified?," Studies in Economics 1125, School of Economics, University of Kent.
    2. Poutineau, Jean-Christophe & Vermandel, Gauthier, 2015. "Cross-border banking flows spillovers in the Eurozone: Evidence from an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 378-403.
    3. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Ratto, Marco, 2019. "Identification versus misspecification in New Keynesian monetary policy models," European Economic Review, Elsevier, vol. 113(C), pages 225-246.
    4. Acurio Vásconez, Verónica & Giraud, Gaël & Mc Isaac, Florent & Pham, Ngoc-Sang, 2015. "The effects of oil price shocks in a new-Keynesian framework with capital accumulation," Energy Policy, Elsevier, vol. 86(C), pages 844-854.
    5. Gary Koop & M. Hashem Pesaran & Ron P. Smith, 2013. "On Identification of Bayesian DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 300-314, July.
    6. Mohimont, Jolan, 2022. "Welfare effects of business cycles and monetary policies in a small open emerging economy," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
    7. Enrique Martínez-García & Mark A. Wynne, 2014. "Assessing Bayesian Model Comparison in Small Samples," Advances in Econometrics, in: Bayesian Model Comparison, volume 34, pages 71-115, Emerald Group Publishing Limited.
    8. Massimo Minesso Ferrari, 2020. "The Real Effects of Endogenous Defaults on the Interbank Market," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 6(3), pages 411-439, November.
    9. Müller, Ulrich K., 2012. "Measuring prior sensitivity and prior informativeness in large Bayesian models," Journal of Monetary Economics, Elsevier, vol. 59(6), pages 581-597.
    10. Audzei, Volha & Brůha, Jan, 2022. "A model of the Euro area, China, and the United States: Trade links and trade wars," Economic Modelling, Elsevier, vol. 111(C).
    11. Taremi, Mohammad & Esksndari, Farzad & Bameni Moghadam, Mohammad, 2016. "Identifiability of Dynamic Stochastic General Equilibrium Models with Covariance Restrictions," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(3), pages 225-243, July.
    12. Tibor Hledik & Jan Vlcek, 2018. "Quantifying the Natural Rate of Interest in a Small Open Economy - The Czech Case," Working Papers 2018/7, Czech National Bank.
    13. Herranz, Moisés Meroño & Turino, Francesco, 2023. "Tax evasion, fiscal policy and public debt: Evidence from Spain," Economic Systems, Elsevier, vol. 47(3).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Daniel F. Waggoner & Tao Zha, 2000. "A Gibbs simulator for restricted VAR models," FRB Atlanta Working Paper 2000-3, Federal Reserve Bank of Atlanta.
    2. Starck, Christian, 1991. "Specifying a Bayesian vector autoregression for short-run macroeconomic forecasting with an application to Finland," Research Discussion Papers 4/1991, Bank of Finland.
    3. Hoeting, Jennifer A. & Ibrahim, Joseph G., 1998. "Bayesian predictive simultaneous variable and transformation selection in the linear model," Computational Statistics & Data Analysis, Elsevier, vol. 28(1), pages 87-103, July.
    4. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    5. Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
    6. Rickman, Dan S., 1995. "A bayesian analysis of the use of pooled coefficients in a structural regional economic model," International Journal of Forecasting, Elsevier, vol. 11(3), pages 477-490, September.
    7. Diebold, Francis X. & Lamb, Russell L., 1997. "Why are estimates of agricultural supply response so variable?," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 357-373.
    8. John Geweke, 1999. "Using simulation methods for bayesian econometric models: inference, development,and communication," Econometric Reviews, Taylor & Francis Journals, vol. 18(1), pages 1-73.
    9. Nikolay Iskrev, 2010. "Evaluating the strength of identification in DSGE models. An a priori approach," 2010 Meeting Papers 1117, Society for Economic Dynamics.
    10. Òscar Jordà & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
    11. repec:zbw:bofrdp:1991_004 is not listed on IDEAS
    12. Yuntaek Pae & Navid Sabbaghi, 2019. "Strategies for choosing an uncertainty budget in log-robust portfolio management," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-24, June.
    13. Peter C.B. Phillips, 1992. "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy," Cowles Foundation Discussion Papers 1025, Cowles Foundation for Research in Economics, Yale University.
    14. Hsieh, Ping-Hung, 2002. "An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 263-283, August.
    15. Frank Schorfheide, 2011. "Estimation and Evaluation of DSGE Models: Progress and Challenges," NBER Working Papers 16781, National Bureau of Economic Research, Inc.
    16. Jean-Francois Angers, 2000. "P-credence and outliersl," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 81-108.
    17. Salvas-Bronsard, Lise, 1985. "L’information a priori en économétrie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 61(3), pages 287-298, septembre.
    18. Benjamin M. Friedman & Kenneth N. Kuttner, 1989. "Money, Income and Prices After the 1980s," NBER Working Papers 2852, National Bureau of Economic Research, Inc.
    19. Shen, Edward Z. & Perloff, Jeffrey M., 2001. "Maximum entropy and Bayesian approaches to the ratio problem," Journal of Econometrics, Elsevier, vol. 104(2), pages 289-313, September.
    20. J. Denis Sargan, 2001. "Model Building And Data Mining," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 159-170.
    21. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.

    More about this item

    Keywords

    DSGE; identification; information matrix; rank; singular value decomposition;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecb:ecbwps:20101235. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Official Publications (email available below). General contact details of provider: https://edirc.repec.org/data/emieude.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.