Choosing the variables to estimate singular DSGE models: Comment

In a recent article Canova et al. (2014) study the optimal choice of variables to use in the estimation of a simplified version of the Smets and Wouters (2007) model. In this comment I examine their conclusions by applying a different methodology to the same model. The results call into question most of Canova et al. (2014) findings.

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Year of publication:	2014-10
Authors:	Nikolay, Iskrev
Institutions:	Centre pour la Recherche Économique et ses Applications (CEPREMAP)
Subject:	DSGE models \| Observables \| Identification \| Information matrix \| Cramer-Rao lower bound

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Extent:	application/pdf application/zip
Series:	Dynare Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 41 11 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010938595