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DSGE pileups

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  • Morris, Stephen D.

Abstract

The sampling distribution of estimators for DSGE structural parameters tends to be non-normal and/or pile up on the boundary of the theoretically admissible parameter space. This calls into question both the reliability of asymptotic approximations and the presumption of correct specification. This paper seeks to develop a conceptual framework for understanding how these phenomena arise, and to provide pragmatic methods for dealing with them in practice. The results are presented in three examples and a medium scale DSGE model.

Suggested Citation

  • Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
    • Handle: RePEc:eee:dyncon:v:74:y:2017:i:c:p:56-86
    DOI: 10.1016/j.jedc.2016.11.002
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    Cited by:

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    More about this item

    Keywords

    Global identification; Maximum likelihood estimation; Posterior probability;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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