Data Cloning Estimation and Identification of a Medium-Scale DSGE Model

Stats

article

Pedro Chaim¹  Márcio Poletti Laurini² 

[1] Departament of Economics, Federal University of Santa Catarina;Department of Economics, School of Economics, Business Administration and Accounting at Ribeirão Preto ,(FEA-RP/USP), Av. dos Bandeirantes 3900, FEARP—University of São Paulo

关键词: data cloning;    DSGE;    identification;    MCMC;   

DOI  :  10.3390/stats6010002

学科分类：农艺学与作物科学

来源: mdpi

【 摘 要 】

We apply the data cloning method to estimate a medium-scale dynamic stochastic general equilibrium model. The data cloning algorithm is a numerical method that employs replicas of the original sample to approximate the maximum likelihood estimator as the limit of Bayesian simulation-based estimators. We also analyze the identification properties of the model. We measure the individual identification strength of each parameter by observing the posterior volatility of data cloning estimates and access the identification problem globally through the maximum eigenvalue of the posterior data cloning covariance matrix. Our results corroborate existing evidence suggesting that the DSGE model of Smeets and Wouters is only poorly identified. The model displays weak global identification properties, and many of its parameters seem locally ill-identified.

【 授权许可】

CC BY