Bridging DSGE models and the raw data
Fabio Canova
Journal of Monetary Economics, 2014, vol. 67, issue C, 1-15
Abstract:
A method to estimate DSGE models using the raw data is proposed. The approach links the observables to the model counterparts via a flexible specification which does not require the model-based component to be located solely at business cycle frequencies, allows the non-model-based component to take various time series patterns, and permits certain types of model misspecification. Applying standard data transformations induces biases in structural estimates and distortions in the policy conclusions. The proposed approach recovers important model-based features in selected experimental designs. Two widely discussed issues are used to illustrate its practical use.
Keywords: DSGE models; Filters; Structural estimation; Business cycles (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (57)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S030439321400083X
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Bridging DSGE models and the raw data (2015) 
Working Paper: Bridging DSGE Models and the raw data (2013) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:67:y:2014:i:c:p:1-15
DOI: 10.1016/j.jmoneco.2014.06.003
Access Statistics for this article
Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser
More articles in Journal of Monetary Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().