Paper #1135

Títol:

Multiple filtering devices for the estimation of cyclical DSGE models

Autors:

Fabio Canova i Filippo Ferroni

Data:

Gener 2009

Resum:

We propose a method to estimate time invariant 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.

Paraules clau:

DSGE models, Filters, Structural estimation, Business cycles

Codis JEL:

E32, C32

Àrea de Recerca:

Macroeconomia i Economia Internacional

Publicat a:

Journal of Quantitative Economics, 2, (1), 2011, 73-98

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