CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS

B-Tier
Journal: Journal of Applied Econometrics
Year: 2014
Volume: 29
Issue: 7
Pages: 1099-1117

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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 © 2014 John Wiley & Sons, Ltd.

Technical Details

RePEc Handle
repec:wly:japmet:v:29:y:2014:i:7:p:1099-1117
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25