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Choosing the variables to estimate singular DSGE models: Comment

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  • Nikolay, Iskrev

Abstract

In a recent article Canova et al. (2014) study the optimal choice of variables to use in the estimation of a simplified version of the Smets and Wouters (2007) model. In this comment I examine their conclusions by applying a different methodology to the same model. The results call into question most of Canova et al. (2014) findings.

Suggested Citation

  • Nikolay, Iskrev, 2014. "Choosing the variables to estimate singular DSGE models: Comment," Dynare Working Papers 41, CEPREMAP.
    • Handle: RePEc:cpm:dynare:041
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    References listed on IDEAS

    as
    1. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
    2. Nikolay Iskrev, 2010. "Evaluating the strength of identification in DSGE models. An a priori approach," 2010 Meeting Papers 1117, Society for Economic Dynamics.
    3. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-591, May.
    4. Bierens, Herman J., 2007. "Econometric analysis of linearized singular dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 595-627, February.
    5. Fabio Canova & Filippo Ferroni & Christian Matthes, 2014. "Choosing The Variables To Estimate Singular Dsge Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1099-1117, November.
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    Cited by:

    1. Thorsten Drautzburg, 2020. "A narrative approach to a fiscal DSGE model," Quantitative Economics, Econometric Society, vol. 11(2), pages 801-837, May.
    2. Iskrev, Nikolay, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Paper Series 2161, European Central Bank.
    3. Nikolay Iskrev, 2024. "On the band spectral estimation of business cycle models," Working Papers w202419, Banco de Portugal, Economics and Research Department.

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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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