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Title: A Monte Carlo procedure for checking identification in DSGE models

Author(s): Vo Phuong Mai Le, Patrick Minford and Michael R. Wickens

Publication Date: March 2013

Keyword(s): DSGE Model, Indirect Inference and Monte Carlo

Programme Area(s): International Macroeconomics

Abstract: 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.

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Bibliographic Reference

Le, V, Minford, P and Wickens, M. 2013. 'A Monte Carlo procedure for checking identification in DSGE models'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=9411