Data Cloning Estimation and Identification of a Medium-Scale DSGE Model
We apply the data cloning method to estimate a medium-scale dynamic stochastic general equilibrium model. The data cloning algorithm is a numerical method that employs replicas of the original sample to approximate the maximum likelihood estimator as the limit of Bayesian simulation-based estimators...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-12-01
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| Series: | Stats |
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| Online Access: | https://www.mdpi.com/2571-905X/6/1/2 |
| _version_ | 1827747564204589056 |
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| author | Pedro Chaim Márcio Poletti Laurini |
| author_facet | Pedro Chaim Márcio Poletti Laurini |
| author_sort | Pedro Chaim |
| collection | DOAJ |
| description | We apply the data cloning method to estimate a medium-scale dynamic stochastic general equilibrium model. The data cloning algorithm is a numerical method that employs replicas of the original sample to approximate the maximum likelihood estimator as the limit of Bayesian simulation-based estimators. We also analyze the identification properties of the model. We measure the individual identification strength of each parameter by observing the posterior volatility of data cloning estimates and access the identification problem globally through the maximum eigenvalue of the posterior data cloning covariance matrix. Our results corroborate existing evidence suggesting that the DSGE model of Smeets and Wouters is only poorly identified. The model displays weak global identification properties, and many of its parameters seem locally ill-identified. |
| first_indexed | 2024-03-11T05:54:30Z |
| format | Article |
| id | doaj.art-90f9f7307e3241e5b8e7c333aab63240 |
| institution | Directory Open Access Journal |
| issn | 2571-905X |
| language | English |
| last_indexed | 2024-03-11T05:54:30Z |
| publishDate | 2022-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Stats |
| spelling | doaj.art-90f9f7307e3241e5b8e7c333aab632402023-11-17T13:53:45ZengMDPI AGStats2571-905X2022-12-0161172910.3390/stats6010002Data Cloning Estimation and Identification of a Medium-Scale DSGE ModelPedro Chaim0Márcio Poletti Laurini1Departament of Economics, Federal University of Santa Catarina, Florianópolis 88040-900, SC, BrazilDepartment of Economics, School of Economics, Business Administration and Accounting at Ribeirão Preto (FEA-RP/USP), Av. dos Bandeirantes 3900, FEARP—University of São Paulo, Ribeirão Preto 14040-905, SP, BrazilWe apply the data cloning method to estimate a medium-scale dynamic stochastic general equilibrium model. The data cloning algorithm is a numerical method that employs replicas of the original sample to approximate the maximum likelihood estimator as the limit of Bayesian simulation-based estimators. We also analyze the identification properties of the model. We measure the individual identification strength of each parameter by observing the posterior volatility of data cloning estimates and access the identification problem globally through the maximum eigenvalue of the posterior data cloning covariance matrix. Our results corroborate existing evidence suggesting that the DSGE model of Smeets and Wouters is only poorly identified. The model displays weak global identification properties, and many of its parameters seem locally ill-identified.https://www.mdpi.com/2571-905X/6/1/2data cloningDSGEidentificationMCMC |
| spellingShingle | Pedro Chaim Márcio Poletti Laurini Data Cloning Estimation and Identification of a Medium-Scale DSGE Model Stats data cloning DSGE identification MCMC |
| title | Data Cloning Estimation and Identification of a Medium-Scale DSGE Model |
| title_full | Data Cloning Estimation and Identification of a Medium-Scale DSGE Model |
| title_fullStr | Data Cloning Estimation and Identification of a Medium-Scale DSGE Model |
| title_full_unstemmed | Data Cloning Estimation and Identification of a Medium-Scale DSGE Model |
| title_short | Data Cloning Estimation and Identification of a Medium-Scale DSGE Model |
| title_sort | data cloning estimation and identification of a medium scale dsge model |
| topic | data cloning DSGE identification MCMC |
| url | https://www.mdpi.com/2571-905X/6/1/2 |
| work_keys_str_mv | AT pedrochaim datacloningestimationandidentificationofamediumscaledsgemodel AT marciopolettilaurini datacloningestimationandidentificationofamediumscaledsgemodel |