Identification-robust analysis of DSGE and structural macroeconomic models |
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| Authors: | Jean-Marie Dufour Lynda Khalaf Maral Kichian |
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| Institution: | 1. Department of Economics, McGill University, Leacock Building, Room 519, 855 Sherbrooke Street West, Montréal, Québec, Canada H3A 2T7;2. Economics Department, Carleton University, Loeb Building 1125 Colonel By Drive, Ottawa, Ontario, Canada K1S 5B6;3. Economics Department and Graduate School of Public and International Affairs, University of Ottawa, 120 University Private, Ottawa, Canada K1N 6N5;4. Bank of Canada, 234 Wellington Street, Ottawa, Canada K1A 0G9 |
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| Abstract: | Full- and limited-information identification-robust methods are proposed for structural systems, notably DSGE models, which are valid whether identification is weak or strong, theory-intrinsic or data-specific. The proposed methods are applied to a standard New Keynesian system for the U.S. Single- and multi-equation estimation and fit are also compared. When a unique rational-expectation stable equilibrium is imposed, the model is rejected. In contrast, limited-information inference produces informative results regarding forward-looking behavior in the NKPC and precise conclusions on feedback coefficients in the reaction function, which cannot be reached via single-equation methods. |
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