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Estimating DSGE models using seasonally adjusted and unadjusted data

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  • Saijo, Hikaru
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    This paper evaluates the common practice of estimating dynamic stochastic general equilibrium (DSGE) models using seasonally adjusted data. The simulation experiment shows that the practice leads to sizable distortions in estimated parameters. This is because the effects of seasonality, which are magnified by the model’s capital accumulation and labor market frictions, are not restricted to the so-called seasonal frequencies but instead are propagated across the entire frequency domain.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0304407612002461
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 173 (2013)
    Issue (Month): 1 ()
    Pages: 22-35

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    Handle: RePEc:eee:econom:v:173:y:2013:i:1:p:22-35
    DOI: 10.1016/j.jeconom.2012.10.004
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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