Understanding DSGE Filters in Forecasting and Policy Analysis

Michal Andrle

No 2013/098, IMF Working Papers from International Monetary Fund

Abstract: This paper introduces methods that allow analysts to (i) decompose the estimates of unobserved quantities into observed data, (ii) to better understand revision properties of the model, and (iii) to impose subjective prior constraints on path estimates of unobserved shocks in structural economic models. For instance, a decomposition of the flexible-price output gap, or a technology shock, into contributions of output, inflation, interest rates, and other observed variables' contribution is feasible. The intuitive nature and analytical clarity of the suggested procedures are appealing for policy-related and forecasting models.

Keywords: WP (search for similar items in EconPapers)
Pages: 23
Date: 2013-05-08
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Citations: View citations in EconPapers (4)

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Working Paper: Understanding DSGE Filters in Forecasting and Policy Analysis (2012)
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