Bayesian Estimation of DSGE Models: Is the Workhorse Model Identified?
Koop, Pesaran and Smith (2011) suggest a simple diagnostic indicator for the Bayesian estimation of the parameters of a DSGE model. They show that, if a parameter is well identified, the precision of the posterior should improve as the (artificial) data size T increases, and the indicator checks the speed at which precision improves. It does not require any additional programming; a researcher just needs to generate artificial data and estimate the model with different T. Applying this to Smets and Wouters'(2007) medium size US model, we find that while exogenous shock processes are well identified, most of the parameters in the structural equations are not.
|Date of creation:||Feb 2012|
|Contact details of provider:|| Postal: Rumelifeneri Yolu, Sarıyer, 34450 İstanbul|
Web page: http://erf.ku.edu.tr
More information through EDIRC
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.:
- Marco Ratto, 2008. "Analysing DSGE Models with Global Sensitivity Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 31(2), pages 115-139, March.
- Marco Ratto & Werner Roeger, 2005. "An estimated open-economy model for the EURO area," Computing in Economics and Finance 2005 84, Society for Computational Economics.
- Nikolay Iskrev, 2010. "Parameter identification in Dynamic Economic models," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department, pages -.
- Agostino Consolo & Carlo A. Favero & Alessia Paccagnini, 2007.
"On the Statistical Identification of DSGE Models,"
324, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Agostino Consolo & Carlo A. Favero & Alessia Paccagnini, 2009. "On the statistical identification of DSGE models," Open Access publications 10197/7586, School of Economics, University College Dublin.
- Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the Statistical Identification of DSGE Models," CEPR Discussion Papers 7176, C.E.P.R. Discussion Papers.
- Iskrev, Nikolay, 2008. "Evaluating the information matrix in linearized DSGE models," Economics Letters, Elsevier, vol. 99(3), pages 607-610, June.
- Nikolay Iskrev, 2009.
"Local Identification in DSGE Models,"
w200907, Banco de Portugal, Economics and Research Department.
- Andrle, Michal, 2010. "A note on identification patterns in DSGE models," Working Paper Series 1235, European Central Bank.
- Sims, Christopher A, 2002.
"Solving Linear Rational Expectations Models,"
Springer;Society for Computational Economics, vol. 20(1-2), pages 1-20, October.
- Christopher Sims, 2001. "Matlab Code for Solving Linear Rational Expectations Models," QM&RBC Codes 11, Quantitative Macroeconomics & Real Business Cycles.
When requesting a correction, please mention this item's handle: RePEc:koc:wpaper:1205. 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: (Sumru Oz)
If references are entirely missing, you can add them using this form.