DP9381 Choosing the variables to estimate singular DSGE models
|Author(s):||Fabio Canova, Filippo Ferroni, Christian Matthes|
|Publication Date:||March 2013|
|Keyword(s):||ABCD representation, Density ratio, DSGE models., Identification|
|JEL(s):||C10, E27, E32|
|Programme Areas:||International Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=9381|
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.