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Multiple filtering devices for the estimation of cyclical DSGE models

Canova, F and Ferroni, F Multiple filtering devices for the estimation of cyclical DSGE models .

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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.

Item Type: Other
Authors :
NameEmailORCID
Canova, FUNSPECIFIEDUNSPECIFIED
Ferroni, Ff.ferroni@surrey.ac.ukUNSPECIFIED
Uncontrolled Keywords : E32, C32, DSGE models, Filters, Structural estimation, Business cycles
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:14
Last Modified : 17 May 2017 14:33
URI: http://epubs.surrey.ac.uk/id/eprint/818250

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