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• W2521002823 endingPage "rdw048" @default.
• W2521002823 startingPage "rdw048" @default.
• W2521002823 abstract "This article presents a framework for analysing global identification in log linearized Dynamic Stochastic General Equilibrium (DSGE) models that encompasses both determinacy and indeterminacy. First, it considers a frequency domain expression for the Kullback–Leibler distance between two DSGE models and shows that global identification fails if and only if the minimized distance equals 0. This result has three features: (1) it can be applied across DSGE models with different structures; (2) it permits checking whether a subset of frequencies can deliver identification; (3) it delivers parameter values that yield observational equivalence if there is identification failure. Next, the article proposes a measure for the empirical closeness between two DSGE models for a further understanding of the strength of identification. The measure gauges the feasibility of distinguishing one model from another based on a finite number of observations generated by the two models. It is shown to represent the highest possible power under Gaussianity when considering local alternatives. The above theory is illustrated using two small-scale and one medium-scale DSGE models. The results document that certain parameters can be identified under indeterminacy but not determinacy, that different monetary policy rules can be (nearly) observationally equivalent, and that identification properties can differ substantially between small and medium-scale models. For implementation, two procedures are developed and made available, both of which can be used to obtain and thus to cross validate the findings reported in the empirical applications. Although the article focuses on DSGE models, the results are also applicable to other vector linear processes with well-defined spectra, such as the (factor-augmented) vector autoregression." @default.
• W2521002823 created "2016-09-23" @default.
• W2521002823 creator A5039006378 @default.
• W2521002823 creator A5074699196 @default.
• W2521002823 date "2016-09-16" @default.
• W2521002823 modified "2023-10-18" @default.
• W2521002823 title "Global Identification in DSGE Models Allowing for Indeterminacy" @default.
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• W2521002823 doi "https://doi.org/10.1093/restud/rdw048" @default.
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