SUMMARY: 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.
Canova F., Ferroni F., Matthes C. (2014). Choosing the variables to estimate singular dsge models. JOURNAL OF APPLIED ECONOMETRICS, 29(7), 1099-1117 [10.1002/jae.2414].
Choosing the variables to estimate singular dsge models
Ferroni F.;
2014
Abstract
SUMMARY: 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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
