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Working Paper Series no. 461: Choosing the variables to estimate singular DSGE models

By Canova Fabio, Ferroni Filippo, Matthes Christian

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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.

Fabio Canova, Filippo Ferroni and Christian Matthes
November 2013

Classification JEL : C10, E27, E32

Keywords : ABCD representation, Identification, Density ratio, DSGE models

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publication
Working Paper Series no. 461: Choosing the variables to estimate singular DSGE models
  • Published on 11/01/2013
  • EN
  • PDF (778.14 KB)
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Updated on: 06/12/2018 11:10