Business Cycle Theory and Econometrics

Allan W. Gregory · Gregor W. Smith

11 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Economic Theory and Policy Economic theories and models

Abstract

We outline in turn criticisms made by econometricians of the methods used in empirical business-cycle research and then criticisms made by business-cycle researchers of some methods used by econometricians. The aim is to clarify and in some cases correct these criticisms. Overall there is no conflict in using rigourous statistical procedures to study modern dynamic stochastic general equilibrium models. We also provide a concise bibliography of recent research on statistical methods for business-cycle models.

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References

1988Production, growth and business cycles 1995Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research 1993Low frequency filtering and real business cycles 1993Estimating nonlinear time-series models using simulated vector autoregressions 1990Simulated Moments Estimation of Markov Models of Asset Prices 1988Production, growth and business cycles 1995Output Dynamics in Real-Business-Cycles Models 1991Measures of Fit for Calibrated Models

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