Identification-robust analysis of DSGE and structural macroeconomic models
Full- and limited-information identification-robust methods are proposed for structural systems, notably DSGE models, which are valid whether identification is weak or strong, theory-intrinsic or data-specific. The proposed methods are applied to a standard New Keynesian system for the U.S. Single- and multi-equation estimation and fit are also compared. When a unique rational-expectation stable equilibrium is imposed, the model is rejected. In contrast, limited-information inference produces informative results regarding forward-looking behavior in the NKPC and precise conclusions on feedback coefficients in the reaction function, which cannot be reached via single-equation methods.
|Journal||Journal of Monetary Economics|
Dufour, J.-M. (Jean-Marie), Khalaf, L, & Kichian, M. (Maral). (2013). Identification-robust analysis of DSGE and structural macroeconomic models. Journal of Monetary Economics, 60(3), 340–350. doi:10.1016/j.jmoneco.2013.02.001