Department of Economics and Business - Universitat Pompeu Fabra

Title:: Multiple filtering devices for the estimation of cyclical DSGE models
Authors:: Fabio Canova and Filippo Ferroni
Date:: January 2009 (Revised: September 2010)
Abstract:: 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.
Keywords:: DSGE models, Filters, Structural estimation, Business cycles
JEL codes:: E32, C32
Area of Research:: Macroeconomics and International Economics
Published in:: Journal of Quantitative Economics, 2, (1), 2011, 73-98

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