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Bridging DSGE models and the raw data

Author

Listed:
  • Fabio Canova
Abstract
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 solely located at business cycle frequencies, allows the non model-based component to take various time series patterns, and permits model misspecification. Applying standard data transformations induce 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.

Suggested Citation

  • Fabio Canova, 2012. "Bridging DSGE models and the raw data," Working Papers 635, Barcelona School of Economics.
    • Handle: RePEc:bge:wpaper:635
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    References listed on IDEAS

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    More about this item

    Keywords

    DSGE models; Filters; structural estimation; Business cycles;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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    This paper has been announced in the following NEP Reports:

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