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

经济模型受到许多因素的限制，既有理论上的，也有实际的。经济模型的三个基本障碍是参数不稳定、弱识别和错误指定。模型中的“参数不稳定”是指模型的参数随着时间的推移而变化。例如，产出增长的波动性在20世纪80年代末有所增加；目前尚不清楚这种增长是由货币政策的变化、还是私营部门行为的变化，还是仅仅是未知的原因造成的。如果一个经济模型与两个不同参数值的观测数据相兼容，则称为“弱识别”；这意味着，在现有数据的情况下，经济的真实模型可能不能得到足够准确的估计。“错误说明”意味着，用来估计经济政策影响的经济模型可能根本不能代表现实。不稳定、弱识别或错误指定的存在可能会使估计模型的结果失效，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决策。显然，对经济的成功理解和经济政策在实践中的实施取决于对这些参数变化原因的理解。它们还至关重要地依赖于使用可靠的模型，在这些模型中，任何薄弱的识别或错误指定的问题都已得到解决。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工作中更多地关注了这些工具。然而，尽管有了最近的发展，我们仍然缺乏确定不稳定的确切来源的方法，以及对弱识别和错误指定具有健壮性的测试，结果导致研究人员目前对如何在实践中处理这些问题几乎没有指导。物价指数在这些现实和经验相关的情况下提出了新的有用的计量方法。在第一个研究项目“确定宏观经济波动中的不稳定来源”中，采购经理人指数提出了新的方法来搜索和检测数据中的不稳定来源。PI推翻了传统的发现，表明文献中以前的结果依赖于对特定参数集施加稳定性约束。在第二个研究项目“宏观经济模型中弱识别的检验”中，PI提出了一种新的识别检验，其新颖性在于对弱识别的稳健性。在第三个研究项目中，PIS提出了一种新的方法，即使在错误指定的情况下，也能保证模型参数的一致和有效估计。更广泛的影响：这些方法将为应用研究人员、经济学家和央行行长提供实用指导，指导他们如何在实践中处理此类问题。本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者和学生分享，并将有助于理解不稳定在经济中的作用。

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.