Understanding DSGE Filters in Forecasting and Policy Analysis
AbstractThe paper introduces methods that allow analysts to (i) decompose the estimates of unobserved quantities into observed data and (ii) impose subjective prior constraints on path estimates of unobserved shocks in structural economic models. For instance, decomposition of output gap to output, inflation, interest rates and other observables contribution is feasible. The intuitive nature and the analytical clarity of procedures suggested are appealing for policy-related and forecasting models. The paper brings some of the power embodied in the theory of linear multivariate filters, namely relatinship between Kalman and Wiener-Kolmogorov filtering, into the area of structural multivariate models, expressed in linear state-space form.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by CEPREMAP in its series Dynare Working Papers with number 16.
Length: 13 pages
Date of creation: Oct 2012
Date of revision:
filter; DSGE; state-space; observables decomposition; judgement;
Other versions of this item:
- Michal Andrle, 2013. "Understanding DSGE Filters in Forecasting and Policy Analysis," IMF Working Papers 13/98, International Monetary Fund.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-13 (All new papers)
- NEP-DGE-2012-10-13 (Dynamic General Equilibrium)
- NEP-ECM-2012-10-13 (Econometrics)
- NEP-ETS-2012-10-13 (Econometric Time Series)
- NEP-FOR-2012-10-13 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Frank Smets & Rafael Wouters, 2007.
"Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach,"
American Economic Review,
American Economic Association, vol. 97(3), pages 586-606, June.
- Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 0722, European Central Bank.
- Smets, Frank & Wouters, Rafael, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," CEPR Discussion Papers 6112, C.E.P.R. Discussion Papers.
- Frank Smets & Raf Wouters, 2007. "Shocks and Frictions in US Business Cycles : a Bayesian DSGE Approach," Working Paper Research 109, National Bank of Belgium.
- Roberto Garcia-Saltos & Douglas Laxton & Michal Andrle & Haris Munandar & Charles Freedman & Danny Hermawan, 2009. "Adding Indonesia to the Global Projection Model," IMF Working Papers 09/253, International Monetary Fund.
- Christoph Schleicher, 2003. "Kolmogorov-Wiener Filters for Finite Time Series," Computing in Economics and Finance 2003 109, Society for Computational Economics.
- Doran, Howard E, 1992. "Constraining Kalman Filter and Smoothing Estimates to Satisfy Time-Varying Restrictions," The Review of Economics and Statistics, MIT Press, vol. 74(3), pages 568-72, August.
- Durbin, James & Koopman, Siem Jan, 2001.
"Time Series Analysis by State Space Methods,"
Oxford University Press, number 9780198523543.
- Tom Doan, . "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- International Monetary Fund, 2010. "Estimating Potential Output with a Multivariate Filter," IMF Working Papers 10/285, International Monetary Fund.
- Michal Andrle & Tibor Hledik & Ondra Kamenik & Jan Vlcek, 2009. "Implementing the New Structural Model of the Czech National Bank," Working Papers 2009/2, Czech National Bank, Research Department.
- Pierce, David A., 1980. "Data revisions with moving average seasonal adjustment procedures," Journal of Econometrics, Elsevier, vol. 14(1), pages 95-114, September.
- Jaromír Beneš & Andrew Binning & Kirdan Lees, 2008. "Incorporating judgement with DSGE models," Reserve Bank of New Zealand Discussion Paper Series DP2008/10, Reserve Bank of New Zealand.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sébastien Villemot).
If references are entirely missing, you can add them using this form.