.ISSN (e) 1759-7331
(print) 1759-7323
Quantitative Economics
An open-access journal in quantitative economics
Journal of the
Econometric Society
Font Size:  Small  Medium  Large

Quantitative Economics, Volume 2, Issue 1 (March 2011)

Multiple filtering devices for the estimation of cyclical DSGE models

Fabio Canova, Filippo Ferroni


We propose a method to estimate time invariant cyclical dynamic stochastic gen-
eral equilibrium models using the information provided by a variety of filters. We
treat data filtered with alternative procedures as contaminated proxies of the rel-
evant model-based quantities and estimate structural and nonstructural parame-
ters jointly using a signal extraction approach. We employ simulated data to il-
lustrate 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 transmis-
sion of monetary business cycles.
Keywords. DSGE models, filters, structural estimation, business cycles.
JEL classification. C32, E32.

Full Text: Print View Print (Supplement) View (Supplement) PDF