Fabio Canova
Filippo Ferroni
Christian Matthes

choosing the variables to estimate singular dsge models (replication data)

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.

Data and Resources

Suggested Citation

Canova, Fabio; Ferroni, Filippo; Matthes, Christian (2014): CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022321.0715732868