Title of article :
Local identificationinDSGEmodels
Author/Authors :
Nikolay Iskrev، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
Abstract :
The issueofidentificationariseswheneverstructuralmodelsareestimated.Lackof
identificationmeansthattheempiricalimplicationsofsomemodelparametersare
either undetectableorindistinguishablefromtheimplicationsofotherparameters.
Therefore,identifiabilitymustbeverifiedpriortoestimation.Thispaperprovidesa
simplemethodforconductinglocalidentificationanalysisinlinearizedDSGEmodels,
estimatedinbothfullandlimitedinformationsettings.Inadditiontoestablishing
which parametersarelocallyidentifiedandwhicharenot,researcherscandetermine
whethertheidentificationfailuresareduetodatalimitations,suchaslackof
observationsforsomevariables,orwhethertheyareintrinsictothestructureofthe
model.Themethodologyisillustratedusingamedium-scaleDSGEmodel
Keywords :
DSGE modelsIdentification
Journal title :
Journal of Monetary Economics
Journal title :
Journal of Monetary Economics
