Understanding DSGE Filters in Forecasting and Policy Analysis

Michal Andrle

No 16, Dynare Working Papers from CEPREMAP

Abstract: The paper introduces methods that allow analysts to (i) decompose the estimates of unobserved quantities into observed data and (ii) impose subjective prior constraints on path estimates of unobserved shocks in structural economic models. For instance, decomposition of output gap to output, inflation, interest rates and other observables contribution is feasible. The intuitive nature and the analytical clarity of procedures suggested are appealing for policy-related and forecasting models. The paper brings some of the power embodied in the theory of linear multivariate filters, namely relatinship between Kalman and Wiener-Kolmogorov filtering, into the area of structural multivariate models, expressed in linear state-space form.

Keywords: filter; DSGE; state-space; observables decomposition; judgement (search for similar items in EconPapers)
JEL-codes: C10 E50 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2012-10
New Economics Papers: this item is included in nep-dge, nep-ecm, nep-ets and nep-for
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Related works:
Working Paper: Understanding DSGE Filters in Forecasting and Policy Analysis (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:cpm:dynare:016

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