Impulse response identification in DSGE models
Dynamic stochastic general equilibrium (DSGE) models have become a widely used tool for policymakers. This paper modifies the global identification theory used for structural vector autoregressions, and applies it to DSGE models. We use this theory to check whether a DSGE model structure allows for unique estimates of structural shocks and their dynamic effects. The potential cost of a lack of identification for policy oriented models along that specific dimension is huge, as the same model can generate a number of contrasting yet theoretically and empirically justifiable recommendations. The problem and methodology are illustrated using a simple New Keynesian business cycle model.
|Date of creation:||2010|
|Date of revision:|
|Contact details of provider:|| Postal: 1 Memorial Drive, Kansas City, MO 64198-0001|
Phone: (816) 881-2254
Web page: http://www.kansascityfed.org/
More information through EDIRC
|Order Information:|| Email: |
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.:
- Iskrev, Nikolay, 2010.
"Local identification in DSGE models,"
Journal of Monetary Economics,
Elsevier, vol. 57(2), pages 189-202, March.
- 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.
- Canova, Fabio & Sala, Luca, 2009. "Back to square one: Identification issues in DSGE models," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 431-449, May.
- Fabio Canova & Luca Sala, 2007. "Back to square one: identification issues in DSGE models," Banco de Espa�a Working Papers 0715, Banco de Espa�a.
- Canova, Fabio & Sala, Luca, 2009. "Back to square one: identification issues in DSGE models," CEPR Discussion Papers 7234, C.E.P.R. Discussion Papers.
- 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.
- Fabio Canova & Luca Sala, 2006. "Back to Square One: Identification Issues in DSGE Models," Working Papers 303, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Canova, Fabio & Sala, Luca, 2006. "Back to square one: identification issues in DSGE models," Working Paper Series 0583, European Central Bank.
- Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-91, May.
- repec:oup:restud:v:77:y:2010:i:2:p:665-696 is not listed on IDEAS
- Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2008.
"Structural vector autoregressions: theory of identification and algorithms for inference,"
FRB Atlanta Working Paper
2008-18, Federal Reserve Bank of Atlanta.
- Iskrev, Nikolay, 2008. "Evaluating the information matrix in linearized DSGE models," Economics Letters, Elsevier, vol. 99(3), pages 607-610, June.
When requesting a correction, please mention this item's handle: RePEc:fip:fedkrw:rwp10-07. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lu Dayrit)
If references are entirely missing, you can add them using this form.