CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS

Fabio Canova, Filippo Ferroni and Christian Matthes

Journal of Applied Econometrics, 2014, vol. 29, issue 7, 1099-1117

Abstract: We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the second selects the vector that minimizes the informational discrepancy between the singular and non‐singular model. An application to a standard model is discussed and the estimation properties of different setups compared. Practical suggestions for applied researchers are provided. Copyright © 2014 John Wiley & Sons, Ltd.

Date: 2014
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Citations: View citations in EconPapers (26)

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https://doi.org/10.1002/jae.2414

Related works:
Working Paper: Choosing the variables to estimate singular DSGE models (2013)
Working Paper: Choosing the variables to estimate singular DSGE models (2013)
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