Analyzing of Identifiability in Dynamic Stochastic General Equilibrium Models with Restrictions
محل انتشار: اولین کنفرانس ملی مدیریت و اقتصاد جهانی
سال انتشار: 1395
نوع سند: مقاله کنفرانسی
زبان: انگلیسی
مشاهده: 416
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شناسه ملی سند علمی:
MWECONF01_242
تاریخ نمایه سازی: 13 شهریور 1396
چکیده مقاله:
This article is concerned with identification problem of parameters of Dynamic Stochastic General Equilibrium Models with restrictions. We derived a set of identifiability conditions, and suggested a procedure for a thorough analysis of identification at each point in the parameters space. The procedure can be applied, before DSGE models are estimated, to determine where identification fails, and where it likely to be weak. We also used a Monte Carlo simulation and studied the effect of restrictions on the estimate. The results show that the use of restrictions for estimation, when identification is reduced, leads us to inaccurate estimates and unreliable inference even when the number of observations is large
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نویسندگان
Mohammad Taremi
Department of Statistics, Faculty of economics, Allameh Tabataba’i University, Tehran, Iran
Farzad Eskandari
Department of Statistics, Faculty of economics, Allameh Tabataba’i University, Tehran, Iran