Data-Driven Identification Constraints for DSGE Models

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dc.contributor.author Lanne, Markku
dc.contributor.author Luoto, Jani Pentti
dc.date.accessioned 2018-03-15T10:13:00Z
dc.date.available 2018-03-15T10:13:00Z
dc.date.issued 2018-04
dc.identifier.citation Lanne , M & Luoto , J P 2018 , ' Data-Driven Identification Constraints for DSGE Models ' , Oxford Bulletin of Economics and Statistics , vol. 80 , no. 2 , pp. 236-258 . https://doi.org/10.1111/obes.12217
dc.identifier.other PURE: 88586620
dc.identifier.other PURE UUID: 9821eac1-cdc4-45aa-aeb8-67de2214cd6a
dc.identifier.other Scopus: 85042435232
dc.identifier.other WOS: 000426123400003
dc.identifier.other ORCID: /0000-0001-9397-2578/work/42819238
dc.identifier.uri http://hdl.handle.net/10138/233473
dc.description.abstract We propose imposing data-driven identification constraints to alleviate the multimodality problem arising in the estimation of poorly identified dynamic stochastic general equilibrium models under non-informative prior distributions. We also devise an iterative procedure based on the posterior density of the parameters for finding these constraints. An empirical application to the Smets and Wouters () model demonstrates the properties of the estimation method, and shows how the problem of multimodal posterior distributions caused by parameter redundancy is eliminated by identification constraints. Out-of-sample forecast comparisons as well as Bayes factors lend support to the constrained model. en
dc.format.extent 23
dc.language.iso eng
dc.relation.ispartof Oxford Bulletin of Economics and Statistics
dc.rights cc_by
dc.rights.uri info:eu-repo/semantics/openAccess
dc.subject 511 Economics
dc.subject MONTE-CARLO METHODS
dc.subject SCORING RULES
dc.subject PREDICTION
dc.subject SIMULATION
dc.subject INFERENCE
dc.subject POSTERIOR
dc.title Data-Driven Identification Constraints for DSGE Models en
dc.type Article
dc.contributor.organization Department of Political and Economic Studies (2010-2017)
dc.contributor.organization Economics
dc.contributor.organization Helsinki Center of Economic Research (HECER)
dc.contributor.organization Financial and Macroeconometrics
dc.contributor.organization HECER
dc.description.reviewstatus Peer reviewed
dc.relation.doi https://doi.org/10.1111/obes.12217
dc.relation.issn 0305-9049
dc.rights.accesslevel openAccess
dc.type.version publishedVersion

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