Choosing the variables to estimate singular DSGE models
Title: Choosing the variables to estimate singular DSGE models
Series/Number: CEPR Discussion Paper; 2013/9381
External link: http://www.cepr.org/pubs/dps/DP9381
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.
Type of Access: openAccess
Published version: http://hdl.handle.net/1814/34309
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