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Autoren: 
Canova, Fabio
Sala, Luca
Datum: 
2006
Reihe/Nr.: 
ECB Working Paper 583
Zusammenfassung: 
We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. We show that observational equivalence, partial and weak identification problems are widespread, that they lead to biased estimates, unreliable t-statistics and may induce investigators to select false models. We examine whether different objective functions affect identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to detect identification failures and apply them to a state-of-the-art model.
Schlagwörter: 
DSGE Models
Identification
JEL: 
C13
C51
C52
E32
Dokumentart: 
Working Paper

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