Is there a literature on how to choose observables to estimate DSGE models (say, to resolve parameter identification issues) ?
If so, could you give me a few references?
To my knowledge, there is not much. See Remark 7 (Which Observables for Estimation?) in Pfeifer(2013): “A Guide to Specifying Observation Equations for the Estimation of DSGE Models” sites.google.com/site/pfeiferecon/Pfeifer_2013_Observation_Equations.pdf.
Look at this article
maybe it can help
@federico That is the article (amongst others) cited in the remark as well
Sorry, I didn’t notice.
Thanks Federico and Johannes! Very useful.