Choosing the variables to estimate singular DSGE models
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0883-7252; 1099-1255
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Journal of Applied Econometrics, 2014, Vol. 29, No. 7, pp. 1099-1117
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CANOVA, Fabio, FERRONI, Filippo, MATTHES, Christian, Choosing the variables to estimate singular DSGE models, Journal of Applied Econometrics, 2014, Vol. 29, No. 7, pp. 1099-1117 - https://hdl.handle.net/1814/34309
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 selects 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.
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Article first published online on September 23, 2014