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This paper considers issues related to identi…cation, inference and computation in linearized Dynamic Stochastic General Equilibrium (DSGE) models. We …rst provide a necessary and su¢ cient condition for the local identi…cation of the structural parameters based on the (…rst and) second order properties of the process. The condition allows for arbitrary relations between the number of observed endogenous variables and structural shocks and is simple to verify. The extensions including identi…cation through a subset of frequencies, partial identi…cation, conditional identi…cation and identi…cation under general nonlinear constraints are also studied. When lack of identi…cation is detected, the method can be further used to trace out non-identi…cation curves. For estimation, restricting our attention to nonsingular systems, we consider a frequency domain quasi-maximum likelihood (FQML) estimator and present its

Identification and Frequency Domain QML Estimation of Linearized DSGE Models