Dear all,

The attached file contains codes for identification analysis I did on the simple model of An and Schorfheide (2007, Econometric Reviews: Bayesian Analysis of DSGE Models). The log file (estimate_M1D1.log) is also attached, which shows that all the parameters in the Taylor rules are collinear with respect to other parameters. When I do monte carlo analysis, the same problem arises. Does this problem mean that the Taylor rule coefficients are not identified? Could anyone please provide some deeper insights into the problem? Thanks a lot!!!

Testing prior mean

Evaluating simulated moment uncertainty … please wait

Doing 100 replicas of length 300 periods.

Simulated moment uncertainty … done!

WARNING !!!

The rank of H (model) is deficient!

eps_R is collinear w.r.t. all other params!

psi1 is collinear w.r.t. all other params!

psi2 is collinear w.r.t. all other params!

rho_R is collinear w.r.t. all other params!

WARNING !!!

The rank of J (moments) is deficient!

eps_R is collinear w.r.t. all other params!

psi1 is collinear w.r.t. all other params!

psi2 is collinear w.r.t. all other params!

rho_R is collinear w.r.t. all other params!

Identification Problem.rar (5.71 KB)