Choosing the variables to estimate singular DSGE models

Canova, F, Ferroni, F and Matthes, C (2014) Choosing the variables to estimate singular DSGE models Journal of Applied Econometrics, 29 (7). pp. 1099-1117.

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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.

Item Type:	Article
Subjects :	Economics
Divisions :	Faculty of Arts and Social Sciences > School of Economics
Authors :	Name Email ORCID Canova, F Ferroni, F Matthes, C
Date :	23 September 2014
DOI :	10.1002/jae.2414
Copyright Disclaimer :	Copyright © 2014 John Wiley & Sons, Ltd.
Depositing User :	Symplectic Elements
Date Deposited :	21 Jul 2016 14:10
Last Modified :	31 Oct 2017 18:28
URI:	http://epubs.surrey.ac.uk/id/eprint/811323

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