Arbeitspapier
A Monte Carlo procedure for checking identification in DSGE models
We propose a numerical method, based on indirect inference, for checking the identification of a DSGE model. Monte Carlo samples are generated from the model's true structural parameters and a VAR approximation to the reduced form estimated for each sample. We then search for a different set of structural parameters that could potentially also generate these VAR parameters. If we can find such a set, the model is not identified.
- Language
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Englisch
- Bibliographic citation
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Series: Cardiff Economics Working Papers ; No. E2013/4
- Classification
-
Wirtschaft
Estimation: General
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Business Fluctuations; Cycles
- Subject
-
identification
DSGE model
Monte Carlo
indirect inference
Dynamisches Gleichgewicht
Modellierung
Monte-Carlo-Methode
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Le, Vo Phuong Mai
Minford, Patrick
Wickens, Michael
- Event
-
Veröffentlichung
- (who)
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Cardiff University, Cardiff Business School
- (where)
-
Cardiff
- (when)
-
2013
- Handle
- Last update
-
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
- Le, Vo Phuong Mai
- Minford, Patrick
- Wickens, Michael
- Cardiff University, Cardiff Business School
Time of origin
- 2013
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