Economics Seminar: Multiple Filtering Devices for the Estimation of Cyclical DSGE Models
- When?
- Wednesday 16 February 2011, 16:15 to 17:15
- Where?
- 04AD00
- Open to:
- Public, Staff, Students
- Speaker:
- Dr Filippo Ferroni (Bank of France)
Dr Filippo Ferroni (Bank of France)
"Multiple Filtering Devices for the Estimation of Cyclical DSGE Models"
Abstract
We propose a method to estimate time invariant 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.