Bridging DSGE models and the raw data
AbstractA 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.
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Bibliographic InfoPaper provided by Barcelona Graduate School of Economics in its series Working Papers with number 635.
Date of creation: May 2012
Date of revision:
DSGE models; Filters; Structural estimation; Business cycles;
Other versions of this item:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-13 (All new papers)
- NEP-BEC-2012-06-13 (Business Economics)
- NEP-DGE-2012-06-13 (Dynamic General Equilibrium)
- NEP-ECM-2012-06-13 (Econometrics)
- NEP-MAC-2012-06-13 (Macroeconomics)
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