Hi All
Is there a literature on how to choose observables to estimate DSGE models (say, to resolve parameter identification issues) ?
If so, could you give me a few references?
Thanks
Reuben
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Selecting observables
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Selecting observables
by reubenpjacob » Wed Aug 31, 2016 10:31 pm
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Re: Selecting observables
by jpfeifer » Thu Sep 01, 2016 5:00 am
To my knowledge, there is not much. See Remark 7 (Which Observables for Estimation?) in 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.
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Re: Selecting observables
by federico » Thu Sep 01, 2016 7:39 am
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Re: Selecting observables
by jpfeifer » Thu Sep 01, 2016 7:45 am
@federico That is the article (amongst others) cited in the remark as well
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Re: Selecting observables
by reubenpjacob » Thu Sep 01, 2016 8:32 pm
Thanks Federico and Johannes! Very useful.
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