A Note on the Identification of Dynamic Economic Models with Generalized Shock Processes
研究发现，当DSGE模型的驱动过程遵循无约束VAR时，结构参数无法识别，这意味着近期估计广义驱动过程的参数需谨慎，且识别与模型误设风险间存在权衡。
Abstract Dynamic stochastic general equilibrium (DSGE) models with generalized shock processes, such as shock processes which follow a vector autoregression (VAR), have been an active area of research in recent years. Unfortunately, the structural parameters governing DSGE models are not identified when the driving process behind the model follows an unrestricted VAR. This finding implies that parameter estimates derived from recent attempts to estimate DSGE models with generalized driving processes should be treated with caution, and that there always exists a tradeoff between identification and the risk of model misspecification. However, these results also make it easier to address the issue of model misspecification by making it computationally easier to check the validity of cross‐equation restrictions.