Multiple filtering devices for the estimation of cyclical DSGE models

Fabio Canova () and Filippo Ferroni ()
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Fabio Canova: http://www.econ.upf.edu/en/people/onefaculty.php?id=p1211

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 filtering approaches. We treat data filtered with alternative procedures as contaminated proxy of the relevant model-based quantities and estimate structural and nonstructural parameters jointly using an unobservable component structure. We employ simulated data to illustrate the properties of the procedure and compare our estimates 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: E32 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge, nep-ecm, nep-ets and nep-mac
Date: 2009-01
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Persistent link: http://EconPapers.repec.org/RePEc:upf:upfgen:1135

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