Wright, Stephen (2012) Non-uniqueness of deep parameters and shocks in estimated DSGE models: a health warning. Working Paper. Birkbeck, University of London, London, UK.
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Abstract
Estimation of dynamic stochastic general equilibrium (DSGE)models using state space methods implies vector autoregressive moving average (VARMA)representations of the observables. Following Lippi and Reichlin’s (1994)analysis of nonfundamentalness, this note highlights the potential dangers of end of non-uniqueness, both of estimates of deep parameters and of structural innovations.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Sarah Hall |
| Date Deposited: | 13 May 2014 09:53 |
| Last Modified: | 02 Aug 2023 17:10 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/9724 |
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