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Multiple filtering devices for the estimation of cyclical DSGE models

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Author Info
Fabio Canova ()
Filippo Ferroni

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Abstract

We propose a method to estimate time invariant cyclical DSGE models using the information provided by a variety of filtering approaches. We treat data filtered with alternative procedures as contaminated proxy of the relevant model-based quantities and estimate structural and nonstructural parameters jointly using an unobservable component structure. We employ simulated data to illustrate the properties of the procedure and compare our estimates with those obtained when just one filter is used. We revisit the role of money in the transmission of monetary business cycles.

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Publisher Info
Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 1135.

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Date of creation: Jan 2009
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Handle: RePEc:upf:upfgen:1135

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Web page: http://www.econ.upf.edu/

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Related research
Keywords: DSGE models; Filters; Structural estimation; Business cycles;

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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References listed on IDEAS
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  1. Martin Fukac & Adrian Pagan, 2008. "Limited Information Estimation and Evaluation of DSGE Models," Reserve Bank of New Zealand Discussion Paper Series DP2008/11, Reserve Bank of New Zealand. [Downloadable!]
  2. Rabanal, Pau & Rubio-Ramirez, Juan F., 2005. "Comparing New Keynesian models of the business cycle: A Bayesian approach," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1151-1166, September. [Downloadable!] (restricted)
  3. Ireland, Peter N, 2004. "Money's Role in the Monetary Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(6), pages 969-83, December.
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  4. Cogley, Timothy, 2001. "Estimating and testing rational expectations models when the trend specification is uncertain," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1485-1525, October. [Downloadable!] (restricted)
  5. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2006. "VARs, common factors and the empirical validation of equilibrium business cycle models," Journal of Econometrics, Elsevier, vol. 132(1), pages 257-279, May. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2009-11-27.

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