Choosing the variables to estimate singular DSGE models
Fabio Canova (),
Filippo Ferroni () and
Christian Matthes ()
No 9381, CEPR Discussion Papers from C.E.P.R. Discussion Papers
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; Density ratio; DSGE models.; Identification (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-ecm
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Journal Article: CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS (2014)
Working Paper: Choosing the variables to estimate singular DSGE models (2013)
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