CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS
提出了两种选择观测变量的方法，用于估计奇异DSGE模型的结构参数，一种优化参数识别，另一种最小化信息差异，并给出了实际应用建议。
SUMMARY We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the second selects the vector that minimizes the informational discrepancy between the singular and non‐singular model. An application to a standard model is discussed and the estimation properties of different setups compared. Practical suggestions for applied researchers are provided. Copyright © 2014 John Wiley & Sons, Ltd.