variables included in data of Bayesian estimation

This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location where you will have to reset your password.
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.

variables included in data of Bayesian estimation

Postby shouwangsp08 » Mon Jul 17, 2017 7:02 am

How to decide whether a variable should be incorporated in data of Bayesian estimation. Depending on availability or anything else? I know the rule that we can not have more observed variables than shocks in our models. What else?
shouwangsp08
 
Posts: 17
Joined: Mon Jul 17, 2017 6:40 am

Re: variables included in data of Bayesian estimation

Postby StephaneAdjemian » Mon Jul 17, 2017 10:04 am

Hi,

This is a very tricky question. It depends a lot on the properties of your model and on the parameters and shocks you want to estimate. You have to make sure that you have the information in the data to estimate the parameters and shocks you are interested in. For instance it would probably be more difficult to estimate the TFP shock, if you do not have data on output and labour. So before launching any estimation you should study the properties of your model, and check, looking at the IRFs, that the shocks you want to estimate have (different) effects on the set of variables you will consider in your sample. In Dynare we have tools for performing identification analysis, this may help in this regard.

Best,
Stéphane.
Stéphane Adjemian
Université du Maine, GAINS and DynareTeam
https://stepan.adjemian.eu
StephaneAdjemian
 
Posts: 429
Joined: Wed Jan 05, 2005 4:24 pm
Location: Paris, France.

Re: variables included in data of Bayesian estimation

Postby shouwangsp08 » Mon Jul 17, 2017 10:50 am

I see. Thank you, Professor.
All bests,

Samson
shouwangsp08
 
Posts: 17
Joined: Mon Jul 17, 2017 6:40 am

Re: variables included in data of Bayesian estimation

Postby jpfeifer » Mon Jul 17, 2017 3:54 pm

A more detailed discussion with some references is in 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.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany

Re: variables included in data of Bayesian estimation

Postby shouwangsp08 » Mon Jul 17, 2017 3:57 pm

Thank you, Professor. I will read it.
Best regards,

Samson
shouwangsp08
 
Posts: 17
Joined: Mon Jul 17, 2017 6:40 am


Return to Dynare help

Who is online

Users browsing this forum: Google [Bot] and 11 guests