Multiple filtering devices for the estimation of cyclical DSGE models

Fabio Canova · Filippo Ferroni

69 citations0/0 files storedQuantitative Economics

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Monetary Policy and Economic Impact Control Systems and Identification Economic theories and models

Abstract

We propose a method to estimate time in variant 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.

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References

2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach 2003An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series 1999The Band Pass Filter 2000The Generalized Dynamic-Factor Model: Identification and Estimation 2008Monetary policy, inflation, and the business cycle : an introduction to the new Keynesian framework 1998Detrending and business cycle facts 2006Medium-Term Business Cycles

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