Non-Uniqueness of Deep Parameters and Shocks in Estimated DSGE Models: A Health Warning
نویسنده
چکیده
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. ∗Department of Economics, Maths & Statistics, Birkbeck College, University of London, Malet Street, London W1E 7HX, UK. [email protected]. I thank Kostas Theodoridis for extremely helpful comments.
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