Arbeitspapier
A note on the identification of dynamic economic models with generalized shock processes
DSGE models with generalized shock processes have been a major area of research in recent years. In this paper, I show that the structural parameters governing DSGE models are not identified when the driving process behind the model follows an unrestricted VAR. This finding implies that parameter estimates derived from recent attempts to estimate DSGE models with generalized driving processes should be treated with caution, and that there exists a tradeoff between identification and the risk of model misspecification.
- Language
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Englisch
- Bibliographic citation
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Series: Kiel Working Paper ; No. 1821
- Classification
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Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Macroeconomics and Monetary Economics: General
- Subject
-
identification
DSGE models
observational equivalence
maximum likelihood
- Event
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Geistige Schöpfung
- (who)
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Reicher, Christopher Phillip
- Event
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Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
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Kiel
- (when)
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2013
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Reicher, Christopher Phillip
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2013
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Generalized binary vector autoregressive processes
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