Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/68616
Authors: 
Reicher, Christopher Phillip
Year of Publication: 
2013
Series/Report no.: 
Kiel Working Paper 1821
Abstract: 
DSGE models with generalized shock processes have been a major area of research in recent years. In this paper, I show that the structural parameters governing DSGE models are not identified when the driving process behind the model follows an unrestricted VAR. This finding implies that parameter estimates derived from recent attempts to estimate DSGE models with generalized driving processes should be treated with caution, and that there exists a tradeoff between identification and the risk of model misspecification.
Subjects: 
identification
DSGE models
observational equivalence
maximum likelihood
JEL: 
C13
C32
E00
Document Type: 
Working Paper

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