Filters; DSGE models; Trends.

The sensitivity of DSGE models' results to data detrending

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Version Date: 
Jun 2009

This paper aims to shed light on potential pitfalls of different data filtering and detrending procedures for the estimation of stationary DSGE models. For this purpose, a medium-sized New Keynesian model as the one developed by Smets and Wouters (2003) is used to assess the sensitivity of the structural estimates to preliminary data transformations.

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