Estimating DSGE models using seasonally adjusted and unadjusted data

Hikaru Saijo

Journal of Econometrics, 2013, vol. 173, issue 1, 22-35

Abstract: This paper evaluates the common practice of estimating dynamic stochastic general equilibrium (DSGE) models using seasonally adjusted data. The simulation experiment shows that the practice leads to sizable distortions in estimated parameters. This is because the effects of seasonality, which are magnified by the model’s capital accumulation and labor market frictions, are not restricted to the so-called seasonal frequencies but instead are propagated across the entire frequency domain.

Keywords: Business cycle; DSGE model; Frequency domain; Seasonal adjustment (search for similar items in EconPapers)
JEL-codes: C13 E32 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:173:y:2013:i:1:p:22-35

DOI: 10.1016/j.jeconom.2012.10.004

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