Choosing the variables to estimate singular DSGE models
AbstractWe 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 InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 9381.
Date of creation: Mar 2013
Date of revision:
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Other versions of this item:
- Canova, F. & Ferroni, F. & Matthes, C., 2013. "Choosing the variables to estimate singular DSGE models," Working papers, Banque de France 461, Banque de France.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-13 (All new papers)
- NEP-DGE-2013-04-13 (Dynamic General Equilibrium)
- NEP-ECM-2013-04-13 (Econometrics)
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- 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.
- 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, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome 2013/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
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