Multiple Filtering Devices for the Estimation of Cyclical DSGE Models

Filippo Ferroni and Fabio Canova

No 498, Working Papers from Barcelona School of Economics

Abstract: We propose a method to estimate time in variant 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: Business cycles; structural estimation; DSGE models; Filters (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2015-09
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Citations: View citations in EconPapers (24)

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Related works:
Journal Article: Multiple filtering devices for the estimation of cyclical DSGE models (2011)
Working Paper: Multiple filtering devices for the estimation of cyclical DSGE models (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:498

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