Le, Vo Phuong Mai Minford, Patrick Wickens, Michael
Year of Publication:
Cardiff Economics Working Papers E2013/4
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.
identification DSGE model Monte Carlo indirect inference