DSGE Estimation... a problem of data!

[sarah]

Hi, this is my first message but I've visited this forum many times and I'd like to thank you all for the precious information, in particular the most active users of this forum.

I am going to estimate an RBC open economy DSGE model with Bayesian techniques. Is the first time I estimate a DSGE model on real data. It is clear for me the logic behind the Bayesian estimation but a bit less which data to use and how to transform it before the estimation. As an exampe i read about the great ratio issue... My question is if you can suggest me any paper, notes etc. in which I can find an introduction on Bayesian estimation that focus on the data to use and on the trasformation needed before the estimation. I am doing a Bayesian estimation but i guess would not be different with Maximum Likelihoo estimation at list concerning data.

Thank you in advance!

Sarah

[jpfeifer]

See Pfeifer (2013): "A Guide to Specifying Observation Equations for the Estimation of DSGE Models" https://sites.google.com/site/pfeiferecon/Pfeifer_2013_Observation_Equations.pdf

[sarah]

Thank you!