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Title: Choosing the variables to estimate singular DSGE models

Author(s): Fabio Canova, Filippo Ferroni and Christian Matthes

Publication Date: March 2013

Keyword(s): ABCD representation, Density ratio, DSGE models. and Identification

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Canova, F, Ferroni, F and Matthes, C. 2013. 'Choosing the variables to estimate singular DSGE models'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=9381