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Choosing the variables to estimate singular DSGE models

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  • Canova, F.
  • Ferroni, F.
  • Matthes, C.

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 Info

Paper provided by Banque de France in its series Working papers with number 461.

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Length: 33 pages
Date of creation: 2013
Date of revision:
Handle: RePEc:bfr:banfra:461

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Web page: http://www.banque-france.fr/
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Related research

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

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Cited by:
  1. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Massimo Franchi, 2013. "Comment on: Ravenna, F., 2007. Vector autoregressions and reduced form representations of DSGE models. Journal of Monetary Economics 54, 2048-2064," DSS Empirical Economics and Econometrics Working Papers Series 2013/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.

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