Multiple filtering devices for the estimation of cyclical DSGE models

Fabio Canova and Filippo Ferroni

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We propose a method to estimate time invariant cyclical DSGE models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural and non-structural parameters jointly using a signal extraction approach. We employ simulated data to illustrate the properties of the procedure and compare our conclusions with those obtained when just one filter is used. We revisit the role of money in the transmission of monetary business cycles.

Keywords: DSGE models; Filters; Structural estimation; Business cycles (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2009-01, Revised 2010-09
New Economics Papers: this item is included in nep-cba, nep-dge, nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Multiple Filtering Devices for the Estimation of Cyclical DSGE Models (2015)
Journal Article: Multiple filtering devices for the estimation of cyclical DSGE models (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1135

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