Bridging DSGE models and the raw data
Fabio Canova ()
No 635, Working Papers from Barcelona Graduate School of Economics
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 solely located at business cycle frequencies, allows the non model-based component to take various time series patterns, and permits model misspecification. Applying standard data transformations induce 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)
JEL-codes: E3 C3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-dge, nep-ecm and nep-mac
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Journal Article: Bridging DSGE models and the raw data (2014)
Working Paper: Bridging DSGE Models and the raw data (2013)
Working Paper: Bridging DSGE models and the raw data (2012)
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