English, Article, Journal or magazine article edition: Multiple filtering devices for the estimation of cyclical DSGE models Fabio Canova; Filippo Ferroni

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Bookmark: http://trove.nla.gov.au/version/154854
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Multiple filtering devices for the estimation of cyclical DSGE models
Author
  • Fabio Canova
  • Filippo Ferroni
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:upf:upfgen:1135
Language
  • English
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