Multiple filtering devices for the estimation of cyclical DSGE

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Feb 2009

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. We employ simulated data to illustrate the properties of the procedure and compare our estimates 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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