Collaborative Research: New Methods for Inference in the Presence of Instabilities, Weak Identification and Mis-specification

合作研究：在存在不稳定性、弱识别和错误指定的情况下进行推理的新方法

• 批准号: 1022125
• 负责人: Barbara Rossi
• 金额: $ 22.23万
• 依托单位: Duke University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2010
• 资助国家: 美国
• 起止时间: 2010-09-15 至 2014-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1022125&HistoricalAwards=false
• 关键词: Collaborative; Research; New; Methods; Inference

Economic models are limited by many factors, both theoretical and practical. Three fundamental hurdles of economic models are the presence of parameter instabilities, weak identification and mis-specification. "Parameter instabilities" in a model are when the models' parameters vary over time. For example, the volatility of output growth has increased in the late 1980s; it is unclear whether this increase may be explained by changes in monetary policy, or by changes in the private sector behavior, or simply by unknown causes. If an economic model is compatible with observed data for two different parameter values it is known as "weakly identified;" this implies that, with the available data, the true model of the economy may not be estimated precisely enough. "Mis-specification" means that the economic model used to estimate the impact of economic policies may be a fundamentally incorrect representation of reality. The presence of instabilities, weak identification, or mis-specification may invalidate the results from an estimated model, leading to incorrect conclusions by researchers and to incorrect policy decisions by policy makers.The recent literature suggests that instabilities, weak identification and mis-specification are widespread phenomena. Clearly, a successful understanding of the economy and the implementation of economic policy in practice depend on understanding the causes of changes in these parameters. They also crucially depend on using reliable models where any weak identification or mis-specification issues have been resolved. As a result, much effort has been devoted to designing new and improved tests to address these issues, and researchers have paid more attention to such tools in their empirical works. However, notwithstanding the recent developments, we still lack methods to identify the exact sources of instabilities, as well as tests that are robust to weak identification and mis-specification, with the result that researchers are currently left with little guidance on how to deal with these issues in practice.The PIs propose new and useful econometric methods in these realistic and empirically relevant situations. In the first research project, "Identifying the Sources of Instabilities in Macroeconomic Fluctuations", the PIs propose new methods for searching for and detecting the sources of instabilities in the data. The PIs overturn conventional findings by showing that previous results in the literature depend on imposing stability constraints on ad-hoc sets of parameters. In the second research project, "Testing for Weak Identification in Macroeconomic Models", the PIs propose a new test for identification whose novelty is the robustness to the presence of weak identification. In the third research project, "Selection Criteria for IRFME and Other Estimators of DSGE Models", the PIs propose new methodologies that guarantee consistent and efficient estimation of models' parameters even in the presence of mis-specification. Broader impact: These methodologies will provide practical guidance to applied researchers, economists and central bankers on how to deal with such issues in practice. This proposal describes important economic applications where these methods will be useful. The methods will be shared with practitioners within the scientific community and students alike, and will contribute to understanding the role of instabilities in the economy.

经济模型受到许多因素的限制，包括理论和实践。经济模型的三个基本障碍是参数不稳定性、弱识别和错误设定。 模型中的“参数不稳定性”是指模型的参数随时间变化。例如，20世纪80年代后期，产出增长的波动性增加了;目前还不清楚这种增加是否可以通过货币政策的变化或私营部门行为的变化来解释，或者仅仅是未知的原因。如果一个经济模型在两个不同的参数值下与观测数据相容，则称为“弱识别”;这意味着，在现有数据下，真实的经济模型可能无法足够精确地估计。“错误规范”意味着用于估计经济政策影响的经济模型可能从根本上错误地代表了现实。不稳定性、弱识别或错误设定的存在可能会使估计模型的结果无效，导致研究人员得出错误的结论，并导致政策制定者做出错误的政策决策。显然，要成功地理解经济和在实践中实施经济政策，就必须理解这些参数变化的原因。他们还至关重要地依赖于使用可靠的模型，其中任何薄弱的识别或错误的规格问题已经得到解决。 因此，许多人致力于设计新的和改进的测试来解决这些问题，研究人员在他们的实证研究中也更加关注这些工具。然而，尽管最近的发展，我们仍然缺乏方法来确定不稳定性的确切来源，以及测试，是强大的弱识别和错误的规格，结果，研究人员目前留下的指导如何处理这些问题在practice.The PI提出新的和有用的计量经济学方法在这些现实和经验相关的情况。在第一个研究项目“识别宏观经济波动中的不稳定性来源”中，PI提出了搜索和检测数据中不稳定性来源的新方法。PI推翻传统的研究结果表明，以前的文献中的结果依赖于强加的稳定性约束的特设参数集。 在第二个研究项目“宏观经济模型中的弱识别测试”中，PI提出了一种新的识别测试，其新奇在于对弱识别存在的鲁棒性。 在第三个研究项目“IRFME和DSGE模型的其他估计器的选择标准”中，PI提出了新的方法，即使在存在错误指定的情况下，也能保证模型参数的一致性和有效性估计。更广泛的影响：这些方法将为应用研究人员、经济学家和中央银行家在实践中如何处理这些问题提供实际指导。 该提案描述了这些方法将有用的重要经济应用。 这些方法将与科学界的从业人员和学生分享，并将有助于理解经济中不稳定性的作用。