Do Data Revisions Matter for DSGE Estimation?

Gregory Givens

Journal of Money, Credit and Banking, 2017, vol. 49, issue 6, 1385-1407

Abstract: This paper checks whether the coefficient estimates of a famous dynamic stochastic general equilibrium (DSGE) model are robust to macroeconomic data revisions. The effects of revisions are captured by rerunning the estimation on a real‐time data set compiled using the latest time series available each quarter from 1997 through 2015. Results show that estimates of the structural parameters are generally robust to changes in the data that have occurred over the past 20 years. By comparison, standard error estimates are more sensitive to revisions. The latter implies that judgments about the statistical significance of certain parameters depend on which data vintage is used for estimation.

Date: 2017
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https://doi.org/10.1111/jmcb.12418

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Working Paper: Do data revisions matter for DSGE estimation? (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:49:y:2017:i:6:p:1385-1407

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