A Note on the Role of the Natural Condition of Control in the Estimation of DSGE Models
This paper is written by authors from the technical and economic fields who are motivated to find a common language and views on the problem of the optimal use of information in model estimation. The center of their interest is the natural condition of control – a common assumption in Bayesian estimation in the technical sciences, and one which may be violated in economic applications. In estimating dynamic stochastic general equilibrium (DSGE) models, typically only a subset of endogenous variables is treated as measured even if additional data sets are available. The natural condition of control dictates the exploitation of all available information, which improves model adaptability and estimate efficiency. The authors illustrate their points on a basic RBC model.
Volume (Year): 61 (2011)
Issue (Month): 5 (November)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Boivin, J. & Giannoni, M., 2007.
"DSGE Models in a Data-Rich Environment,"
162, Banque de France.
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- Jean Boivin & Marc Giannoni, 2006. "DSGE Models in a Data-Rich Environment," NBER Working Papers 12772, National Bureau of Economic Research, Inc.
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Journal of Applied Econometrics,
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- Pablo A. Guerron, 2007. "What You Match Does Matter: The Effects of Data on DSGE Estimation," Working Paper Series 012, North Carolina State University, Department of Economics.
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