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

["Gianluca Cubadda" < >]

Hi Alessandro,

 

please have a look at the paper by Soren Johansen that I mentioned in my reply to Pasquale.

Shortly, Soren argues that it is fundamentally wrong to use ML methods when the statistical model is not a credible (and testable) representation of the (statistical) data generating process. If one takes this point, then the problem with DSGEs is even more serious than weak identification…

 

Ciao,

 

Gianluca

 

 

Da: Alessandro Casini < >
Inviato: giovedì 5 gennaio 2023 14:11
A: ; Pasquale Scaramozzino < >; Gianluca Cubadda < >
Oggetto: Re: [datascience] Empirical Macroeconomics and DSGE Modeling in Statistical Perspective

 

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 di‑difficult 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 (
 
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Department of Economics and Finance 

University of Rome Tor Vergata

Via Columbia 2

00133 Rome, Italy

http://alessandro-casini.com