Non-Uniqueness of Deep Parameters and Shocks in Estimated DSGE Models: A Health Warning
Starts: Wednesday 16 January 2013
1:00 pm
Ends: Wednesday 16 January 2013 2:00 pm
Ends: Wednesday 16 January 2013 2:00 pm
| Event type | Seminar |
| Location | MJ117 |
Presented by: Stephen Wright (Birkbeck College)
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 non-uniqueness, both of estimates of deep parameters and of structural innovations.
Contact details
Name: Dr. Russ Moro
Email: Russ.Moro@brunel.ac.uk
