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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

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; 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
Date: 2013-03
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Related works:
Journal Article: CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS (2014) Downloads
Working Paper: Choosing the variables to estimate singular DSGE models (2013) Downloads
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