Hi
Is anybody aware of any potential identification issues when we estimate a DSGE model using more shocks than observables? I understand that estimation becomes easier as we add more shocks to the model, but I was concerned about potential identification issues. Are there any references that you would recommend to understand more about this?
Reuben
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More shocks than observables
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More shocks than observables
by reubenpjacob » Tue Jul 22, 2014 10:53 pm
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Re: More shocks than observables
by jpfeifer » Wed Jul 23, 2014 8:49 am
See Remark 26 (Number of observables vs. number of shocks) in my Guide to Observation Equations
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