Choosing the variables to estimate singular DSGE models

Fabio Canova (), Filippo Ferroni and Christian Matthes

No 9381, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 (search for similar items in EconPapers)
JEL-codes: C10 E27 E32 (search for similar items in EconPapers)
Date: 2013-03
New Economics Papers: this item is included in nep-dge and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://cepr.org/publications/DP9381 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS (2014)
Working Paper: Choosing the variables to estimate singular DSGE models (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:9381

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP9381

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().