Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
线性化动态随机一般均衡模型的识别与频域准极大似然估计
This paper considers issues related to identification, inference, and computation in linearized dynamic stochastic general equilibrium (DSGE) models. We first provide a necessary and sufficient condition for the local identification of the structural parameters based on the (first and) second order properties of the process. The condition allows for arbitrary relations between the number of observed endogenous variables and structural shocks, and is simple to verify. The…