Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/215440
Authors: 
Adolfson, Malin
Laséen, Stefan
Lindé, Jesper
Ratto, Marco
Year of Publication: 
2019
Series/Report no.: 
Sveriges Riksbank Working Paper Series No. 362
Publisher: 
Sveriges Riksbank, Stockholm
Abstract: 
In this paper, we study identification and misspecification problems in standard closed and open-economy empirical New-Keynesian DSGE models used in monetary policy analysis. We find that problems with model misspecification still appear to be a first-order issue in monetary DSGE models, and argue that it is problems with model misspecification that may benefit the most from moving from a classical to a Bayesian framework. We also argue that lack of identification should neither be ignored nor be assumed to affect all DSGE models. Fortunately, identification problems can be readily assessed on a case-by-case basis, by applying recently developed pre-tests of identification.
Subjects: 
Bayesian estimation
Monte-Carlo methods
Maximum Likelihood Estimation
DSGE Model
Closed economy
Open economy
JEL: 
C13
C51
E30
Document Type: 
Working Paper

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