A common problem in estimating dynamic stochastic general equilibrium models is that the structural parameters of economic interest are only weakly identified. As a result, classical confidence sets and Bayesian credible sets will not coincide even asymptotically, and the mean, mode, or median...

This paper considers inference in log-linearized dynamic stochastic general equilibrium (DSGE) models with weakly (including un-) identified parameters. The framework allows for analysis using only part of the spectrum, say at the business cycle frequencies. First, we characterize weak...