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 we examine their conclusions by applying a different methodology to the same model. Our results call into question most of Canova et al. (2014) conclusions

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 we examine their conclusions by applying a different methodology to the same model. Our results call into question most of Canova et al. (2014) conclusions