Multiple filtering devices for the estimation of cyclical DSGE models
We propose a method to estimate time in variant cyclical DSGE models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural and non-structural parameters jointly using a signal extraction approach. We employ simulated data to illustrate the properties of the procedure and compare our conclusions with those obtained when just one filter is used. We revisit the role of money in the transmission of monetary business cycles.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 2 (2011)
Issue (Month): 1 (03)
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.qeconomics.org
More information through EDIRC
|Order Information:|| Web: https://www.econometricsociety.org/membership Email: |
References listed on IDEAS
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.:
- Canova, Fabio, 1993.
"Detrending and Business Cycle Facts,"
CEPR Discussion Papers
782, C.E.P.R. Discussion Papers.
- Jesús Fernández-Villaverde & Juan F Rubio-Ramírez, 2007.
"How Structural Are Structural Parameters?,"
843644000000000057, UCLA Department of Economics.
- Ferroni, Filippo, 2009.
"Trend agnostic one step estimation of DSGE models,"
14550, University Library of Munich, Germany.
- 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.
- Martin Fukac & Adrian Pagan, 2010. "Limited information estimation and evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 55-70.
- Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000.
"The generalised dynamic factor model: identification and estimation,"
ULB Institutional Repository
2013/10143, ULB -- Universite Libre de Bruxelles.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999. "The Generalized Dynamic Factor Model: Identification and Estimation," CEPR Discussion Papers 2338, C.E.P.R. Discussion Papers.
- Fabio Canova & David López-Salido & Claudio Michelacci, 2007.
"The labor market effects of technology shocks,"
0719, Banco de España;Working Papers Homepage.
- 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.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2006.
"VARs, common factors and the empirical validation of equilibrium business cycle models,"
ULB Institutional Repository
2013/10127, ULB -- Universite Libre de Bruxelles.
- 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.
- Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2002. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," CEPR Discussion Papers 3701, C.E.P.R. Discussion Papers.
- Domenica Giannone & Lucrezia Reichlin & Luca Sala, 2004. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," Working Papers 258, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Chang, Yongsung & Doh, Taeyoung & Schorfheide, Frank, 2005.
"Non-stationary Hours in a DSGE Model,"
CEPR Discussion Papers
5232, C.E.P.R. Discussion Papers.
- Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 533-540, May.
- 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.
- Gorodnichenko, Yuriy & Ng, Serena, 2010.
"Estimation of DSGE models when the data are persistent,"
Journal of Monetary Economics,
Elsevier, vol. 57(3), pages 325-340, April.
- Yuriy Gorodnichenko & Serena Ng, 2009. "Estimation of DSGE Models When the Data are Persistent," NBER Working Papers 15187, National Bureau of Economic Research, Inc.
- Patrick J. Kehoe, 2006.
"How to advance theory with structural VARs: use the Sims-Cogley-Nason approach,"
379, Federal Reserve Bank of Minneapolis.
- Patrick J. Kehoe, 2006. "How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach," NBER Working Papers 12575, National Bureau of Economic Research, Inc.
- Peter N. Ireland, 2000.
"Money's Role in the Monetary Business Cycle,"
Boston College Working Papers in Economics
458, Boston College Department of Economics.
- Peter Ireland, 2000. "Matlab code for Money's Role in the Monetary Business Cycle," QM&RBC Codes 47, Quantitative Macroeconomics & Real Business Cycles.
- Peter N. Ireland, 2001. "Money's Role in the Monetary Business Cycle," NBER Working Papers 8115, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:ecm:quante:v:2:y:2011:i:1:p:73-98. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.