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Choosing the variables to estimate singular DSGE models: Comment

Iskrev, Nikolay and Ritto, Joao (2016): Choosing the variables to estimate singular DSGE models: Comment.

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Abstract

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.

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