A question about measurement errors

[drodrigu]

Hi, I like to know if there is a vay to fix de measurement errors in a estimation without construct equations like this one?

Y_obs = y_t + measurement_error,

thanks,

drodrigu

[jpfeifer]

Hi drodrigu,

what do you mean with "fix the measurement error"?

[drodrigu]

What I am triying to do is to make an estimation of the structural parameters given the variance of the measurament errors. That is, I dont want to estimate the variance of the measurament errors.

[jpfeifer]

Hi,

that's possible, but you still have to specify a measurement equation like the one you wrote above. You then treat the standard deviation of the measurement errors like any other non-estimated parameters. You specify their standard deviations as for all exogenous shocks in the

Code: Select all

shocks;
end;

block. When you then omit the measurement errors in the

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estimated_params;
end;

block Dynare will treat them/their standard deviation as given and will not estimate them.

[drodrigu]

Hi jpfeifer

Thanks for your response

Thanks

drodrigu