Choosing the Variables to Estimate Singular DSGE Models

36 Pages Posted: 12 Mar 2013

See all articles by Fabio Canova

Fabio Canova

Bi norwegian business school

Filippo Ferroni

Federal Reserve Bank of Chicago

Christian Matthes

Federal Reserve Bank of Richmond

Date Written: March 2013

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.

Keywords: ABCD representation, Density ratio, DSGE models., Identification

JEL Classification: C10, E27, E32

Suggested Citation

Canova, Fabio and Ferroni, Filippo and Matthes, Christian, Choosing the Variables to Estimate Singular DSGE Models (March 2013). CEPR Discussion Paper No. DP9381. Available at SSRN: https://ssrn.com/abstract=2231872

Fabio Canova (Contact Author)

Bi norwegian business school ( email )

Nydalsveien 37
Oslo, 0484
Norway

Filippo Ferroni

Federal Reserve Bank of Chicago ( email )

230 South LaSalle Street
Chicago, IL 60604
United States

Christian Matthes

Federal Reserve Bank of Richmond ( email )

P.O. Box 27622
Richmond, VA 23261
United States

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