Bridging DSGE models and the raw data

• 成果类型: Article
• 署名作者: Canova, Fabio
• 署名单位: European University Institute; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.06.003
• 发表日期: 2014
• 页码: 1-15
• 关键词: DSGE models; filters; structural estimation; business cycles

摘要

A method to estimate DSGE models using the raw data is proposed. The approach links the observables to the model counterparts via a flexible specification which does not require the model-based component to be located solely at business cycle frequencies, allows the non-model-based component to take various time series patterns, and permits certain types of model misspecification. Applying standard data transformations induces biases in structural estimates and distortions in the policy conclusions. The proposed approach recovers important model-based features in selected experimental designs. Two widely discussed issues are used to illustrate its practical use. (C) 2014 Elsevier B.V. All rights reserved.