Understanding DSGE Filters in Forecasting and Policy Analysis
AbstractThis 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.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 13/98.
Date of creation: 08 May 2013
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Other versions of this item:
- Andrle, Michal, 2012. "Understanding DSGE Filters in Forecasting and Policy Analysis," Dynare Working Papers 16, CEPREMAP.
- 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
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