DGSE with multiple assets

Estimation ML/Bayesian estimation
1

Hello,

I want to construct a DSGE model and use different stock prices data for structural estimation. Could you please recommend any paper that use a DSGE (or partial equilibrium) model that treats multiple (>=3) stock prices to be endogenous variables?

It seems not difficult to include multiple-assets in Jermann (1998), but then they are all determined by the same Euler equation. How can I distinguish among different stocks?

Thanks!

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2

Have a look at Fabio Canova’s slides on data rich DSGE models:
Canova_data_rich_DSGE.pdf (126.0 KB)

The idea is to have an observation equation linking several observables to one variable in the model using flexible loadings and measurement error.

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