Economics at your fingertips  

Choosing the variables to estimate singular DSGE models

Fabio Canova (), Filippo Ferroni () and Christian Matthes ()

Working papers from Banque de France

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 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.

Keywords: ABCD representation; Identification; Density ratio; DSGE models. (search for similar items in EconPapers)
JEL-codes: C10 E27 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge and nep-mac
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed

Downloads: (external link) ... g-paper_461_2013.pdf (application/pdf)

Related works:
Working Paper: Choosing the variables to estimate singular DSGE models (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().

Page updated 2019-08-20
Handle: RePEc:bfr:banfra:461