Artikel
Global identification of linearized DSGE models
This paper introduces a computational framework to analyze global identification of linearized DSGE models. A formal identification condition is established that relies on the restrictions linking the observationally equivalent state space representations and on the inherent constraints imposed by the model solution on the deep parameters. This condition is next used to develop an algorithm that checks global identification by searching for observationally equivalent model parametrizations. The algorithm is efficient as the identification conditions it employs shrink considerably the space of candidate deep parameter points and the model does not need to be solved at each of these points. The working of the algorithm is demonstrated with two examples.
- Language
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Englisch
- Bibliographic citation
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 9 ; Year: 2018 ; Issue: 3 ; Pages: 1243-1263 ; New Haven, CT: The Econometric Society
- Classification
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Wirtschaft
Estimation: General
Model Construction and Estimation
Business Fluctuations; Cycles
- Subject
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Global identification
DSGE models
state-space representation
- Event
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Geistige Schöpfung
- (who)
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Kociñecki, Andrzej
Kolasa, Marcin
- Event
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Veröffentlichung
- (who)
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The Econometric Society
- (where)
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New Haven, CT
- (when)
-
2018
- DOI
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doi:10.3982/QE530
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Kociñecki, Andrzej
- Kolasa, Marcin
- The Econometric Society
Time of origin
- 2018
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