4.3 Article

CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS

Journal

JOURNAL OF APPLIED ECONOMETRICS
Volume 29, Issue 7, Pages 1099-1117

Publisher

WILEY
DOI: 10.1002/jae.2414

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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 selects 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. Copyright (c) 2014 John Wiley & Sons, Ltd.

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