基于任意精度算法的DSGE模型识别分析

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2023-02-04 DOI:10.1002/jae.2965

Zhongjun Qu, Denis Tkachenko

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引用次数: 2

摘要

本文是宏观经济学和现代计算机算法的交叉点。它寻求应用任意精度算法来解决在对数线性化DSGE模型的识别分析中出现的实际困难。主要重点是Qu和Tkachenko(2012年，2017年)的方法，因为该框架似乎是迄今为止最全面的。利用这种算法，我们开发了以下三步程序来分析局部和全局识别。(1)改进DSGE模型求解算法，将所有相关对象作为多精度实体计算，允许不确定性。(2)利用任意精度的GaussLegendre正交计算秩条件和Kullback-Leibler距离。(3)采用双精度全局搜索算法和任意精度局部搜索算法相结合的方法进行最小化，根据选择的精度级别设置收敛准则，从而有效地检验最小化值是否为零。在对货币和财政政策相互作用模型的应用中(Leeper, 1991和Tan and Walker, 2015)，我们发现该算法消除了分析中的所有歧义。因此，我们得出了明确的结论，表明在通用参数值下，在同一政策制度内和不同政策制度之间的观测等效。通过考虑schmitt - groh和Uribe(2012)的模型，我们进一步说明了该方法在中尺度DSGE模型中的应用，其中使用扩展精度再次有助于消除在检测到接近观测等效的情况下的模糊性。

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Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models

We introduce arbitrary precision arithmetic to resolve practical difficulties arising in the identification analysis of dynamic stochastic general equilibrium (DSGE) models. A three-step procedure is proposed to address local and global identification and the empirical distance between models. The method is applied to monetary and fiscal policy interaction models, revealing exact observational equivalence in a small-scale model between an indeterminate passive monetary and fiscal policy regime and determinate regimes, and near observational equivalence in a medium-scale model. Additionally, the method yields new insights for a model with news shocks, demonstrating that wage markup shocks can be replaced by unanticipated moving average shocks, resulting in near observational equivalence.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.