Re: [datascience] Empirical Macroeconomics and DSGE Modeling in Statistical Perspective

[Alessandro Casini < >]

Hi, I only had a glance at the Introduction. I think their results might be credible. But isn't this known in Econometrics as weak identification? Because weak identification is a long-study problem in Macroeconometrics and also in DSGE model. It might be that their results are just consequences of weak identification.

The paper does not mention weak identification. I was expecting a discussion of this.

For example,  Fernéndez-Villaverde (2010) in his survey of DSGE estimation writes: "likelihoods of DSGE models are full of local maxima and minima and of nearly at surfaces... the standard errors of the estimates are notoriously didifficult to compute and their asymptotic distribution a poor approximation to the small sample one."

So it is possible to get weird results if one does not have strong identification.

Best,

Alessandro

On 1/5/2023 1:14 PM, Pasquale Scaramozzino wrote:

>  
>  ">Caro
>       Gianluca,
>       
>       
>       Buon Anno anche a te! Grazie per la segnalazione del paper: sembra
>       molto interessante e lo leggerò con cura. Da un primo sguardo ho
>       l'impressione che confermi quanto già pensavo riguardo a questi
>       modelli.
>       
>       
>       Un caro saluto,
>       
>       
>       Pasquale
>       
>       
>       
>       
>       Quoting Gianluca Cubadda 
>  
>  "><
>  >:
>       
>       
> > First of all, happy new year to you all!
> >         
> >         
> >         Here it is another paper that is raising lots of discussions:
> >         
> >         
> >         https://arxiv.org/abs/2210.16224
> >         
> >         
> >         I don't know if those results have already been formally
> >         checked.
> >         
> >         
> >         Ciao,
> >         
> >         
> >         Gianluca
> >         
> >       
>       
>       
>       
>       Pasquale Scaramozzino
>       
>       
>       Professore di Economia Politica
>       
>       Dipartimento di Economia e Finanza
>       
>       Facoltà di Economia
>       
>       Università di Roma "Tor Vergata"
>       
>       via Columbia, 2
>       
>       00133 Roma
>       
>       Italy
>       
>       
>       pho. 0039 06 7259 5727
>       
>       fax  0039 06 2020 500
>       
>       
>       http://economia.uniroma2.it/def/faculty/229/scaramozzino-pasquale
>       
>       http://ideas.repec.org/e/psc186.html
>       
>       
>     
-- 
Alessandro Casini (
 
 ">
 )
Department of Economics and Finance 
University of Rome Tor Vergata
Via Columbia 2
00133 Rome, Italy
http://alessandro-casini.com