Title of article
Estimation ofDSGEmodelswhenthedataarepersistent
Author/Authors
Yuriy Gorodnichenko، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
16
From page
325
To page
340
Abstract
Dynamicstochasticgeneralequilibrium(DSGE)modelsareoftensolvedandestimated
under specificassumptionsastowhethertheexogenousvariablesaredifferenceor
trendstationary.However,evenmilddeparturesofthedatageneratingprocessfrom
these assumptionscanseverelybiastheestimatesofthemodelparameters.Thispaper
proposesnewestimatorsthatdonotrequireresearcherstotakeastandonwhether
shocks havepermanentortransitoryeffects.Theseprocedureshavetwokeyfeatures.
First, thesamefilterisappliedtoboththedataandthemodelvariables.Second,the
filteredvariablesarestationarywhenevaluatedatthetrueparametervector.The
estimatorsareapproximatelynormallydistributednotonlywhentheshocksaremildly
persistent,butalsowhentheyhavenearorexactunitroots.Simulationsshowthat
these robustestimatorsperformwellespeciallywhentheshocksarehighlypersistent
yet stationary.Insuchcases,lineardetrendingandfirstdifferencingareshowntoyield
biasedorimpreciseestimates.
Keywords
Persistent dataFiltersTrendsUnit rootSpurious estimatesBusiness cycles
Journal title
Journal of Monetary Economics
Serial Year
2010
Journal title
Journal of Monetary Economics
Record number
846394
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