Several formal methods have been proposed to check local identification in linearized DSGE models using rank criteria. Recently there has been huge progress in the estimation of non-linear DSGE models, yet formal identification criteria are missing. The contribution of the paper is threefold:...

A medium-scale nonlinear DSGE model is estimated (54 variables, 29 state variables, 7 observed variables). The model includes stock market. RMSE of in sample and out of sample forecasts are calculated. The nonlinear DSGE model with measurement errors outperform AR(1), VAR(1), linearized DSGE in...