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dc.contributor.authorKoop, Garyen
dc.contributor.authorPesaran, Hashemen
dc.contributor.authorSmith, Ron P.en
dc.date.accessioned2011-08-09-
dc.date.accessioned2011-11-23T11:43:14Z-
dc.date.available2011-11-23T11:43:14Z-
dc.date.issued2011-
dc.identifier.piurn:nbn:de:101:1-201104134513en
dc.identifier.urihttp://hdl.handle.net/10419/52065-
dc.description.abstractIn recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a lack of identification may not be evident since the posterior of a parameter of interest may differ from its prior even if the parameter is unidentified. We show that this can be the case even if the priors assumed on the structural parameters are independent. We suggest two Bayesian identification indicators that do not suffer from this difficulty and are relatively easy to compute. The first applies to DSGE models where the parameters can be partitioned into those that are known to be identified and the rest where it is not known whether they are identified. In such cases the marginal posterior of an unidentified parameter will equal the posterior expectation of the prior for that parameter conditional on the identified parameters. The second indicator is more generally applicable and considers the rate at which the posterior precision gets updated as the sample size (T) is increased. For identified parameters the posterior precision rises with T, whilst for an unidentified parameter its posterior precision may be updated but its rate of update will be slower than T. This result assumes that the identified parameters are √T-consistent, but similar differential rates of updates for identified and unidentified parameters can be established in the case of super consistent estimators. These results are illustrated by means of simple DSGE models.en
dc.language.isoengen
dc.publisher|aInstitute for the Study of Labor (IZA) |cBonnen
dc.relation.ispartofseries|aIZA Discussion Papers |x5638en
dc.subject.jelC11en
dc.subject.jelC15en
dc.subject.jelE17en
dc.subject.ddc330en
dc.subject.keywordBayesian identificationen
dc.subject.keywordDSGE modelsen
dc.subject.keywordposterior updatingen
dc.subject.keywordNew Keynesian Phillips Curveen
dc.subject.stwDynamisches Gleichgewichten
dc.subject.stwSchätztheorieen
dc.subject.stwBayes-Statistiken
dc.subject.stwNeukeynesianische Makroökonomiken
dc.subject.stwPhillips-Kurveen
dc.subject.stwTheorieen
dc.titleOn identification of Bayesian DSGE models-
dc.typeWorking Paperen
dc.identifier.ppn665579225en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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