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，既有理论的，也有实践的。经济模型的三个基本障碍是参数不稳定、辨识能力弱和错误规范。模型中的“参数不稳定性”是指模型的参数随时间变化。例如，产出增长的波动性在1980年代后期有所增加；目前尚不清楚这种增长是否可以用货币政策的变化、私人部门行为的变化或仅仅是未知的原因来解释。如果一个经济模型与观测到的两个不同参数值的数据是相容的，它被称为“弱识别”；这意味着，根据现有的数据，真实的经济模型可能无法得到足够精确的估计。“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反映了现实。不稳定性、弱识别或错误规范的存在可能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定。最近的文献表明，不稳定，弱识别和错误规范是普遍存在的现象。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的原因的理解。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的规范问题都已得到解决。因此，人们投入了大量的精力来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加关注这些工具。然而，尽管有了最近的发展，我们仍然缺乏方法来确定不稳定性的确切来源，以及对弱识别和错误规范具有鲁棒性的测试，结果是研究人员目前在如何在实践中处理这些问题方面几乎没有指导。在这些现实的和经验相关的情况下，pi提出了新的和有用的计量经济学方法。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提出了在数据中搜索和检测不稳定性来源的新方法。PIs推翻了传统的发现，表明以前的结果在文献中依赖于施加稳定性约束的特设集的参数。在第二个研究项目“宏观经济模型中的弱识别测试”中，pi提出了一个新的识别测试，其新颖性是对弱识别存在的鲁棒性。在第三个研究项目“DSGE模型的IRFME和其他估计器的选择标准”中，pi提出了新的方法，即使在存在错误规范的情况下，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如何在实践中处理此类问题的实用指导。本提案描述了这些方法将会有用的重要经济应用。这些方法将与科学界的实践者和学生分享，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.