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Identification-robust analysis of DSGE and structural macroeconomic models

  • Dufour, Jean-Marie
  • Khalaf, Lynda
  • Kichian, Maral

Full- and limited-information identification-robust methods are proposed for structural systems, notably DSGE models, which are valid whether identification is weak or strong, theory-intrinsic or data-specific. The proposed methods are applied to a standard New Keynesian system for the U.S. Single- and multi-equation estimation and fit are also compared. When a unique rational-expectation stable equilibrium is imposed, the model is rejected. In contrast, limited-information inference produces informative results regarding forward-looking behavior in the NKPC and precise conclusions on feedback coefficients in the reaction function, which cannot be reached via single-equation methods.

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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 60 (2013)
Issue (Month): 3 ()
Pages: 340-350

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Handle: RePEc:eee:moneco:v:60:y:2013:i:3:p:340-350
DOI: 10.1016/j.jmoneco.2013.02.001
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