DP9411 A Monte Carlo procedure for checking identification in DSGE models
|Author(s):||Vo Phuong Mai Le, Patrick Minford, Michael R. Wickens|
|Publication Date:||March 2013|
|Keyword(s):||DSGE Model, Indirect Inference, Monte Carlo|
|JEL(s):||C13, C51, C52, E32|
|Programme Areas:||International Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=9411|
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.