Estimating the Parameters of a Small Open Economy DSGE Model : Indentifiability and Inferential Validity

@inproceedings{Beltran2008EstimatingTP,
  title={Estimating the Parameters of a Small Open Economy DSGE Model : Indentifiability and Inferential Validity},
  author={Daniel O. Beltran and David Draper},
  year={2008}
}
This paper estimates the parameters of a stylized dynamic stochastic general equilibrium model using maximum likelihood and Bayesian methods, paying special attention to the issue of weak parameter identification. Given the model and the available data, the posterior estimates of the weakly identified parameters are very sensitive to the choice of priors. We provide a set of tools to diagnose weak identification, which include surface plots of the log-likelihood as a function of two parameters… CONTINUE READING

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