Structural estimation

Multiple filtering devices for the estimation of cyclical DSGE

JEL codes: 
E32
Version Date: 
Feb 2009
Abstract: 

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 non-structural parameters jointly using an unobservable component structure.

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Trend agnostic one step estimation of DSGE

JEL codes: 
E32
Version Date: 
Mar 2009
Author/s: 
Abstract: 

DSGE models are currently estimated with a two step approach: data is first filtered and then DSGE structural parameters are estimated. Two step procedures have problems, ranging from trend misspecification to wrong assumption about the correlation between trend and cycles.

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