Multiple Filtering Devices for the Estimation of Cyclical DSGE Models

• Authors: Filippo Ferroni and Fabio Canova.
• BSE Working Paper: 498 | September 15
• Keywords: Business cycles , structural estimation , DSGE models , Filters
• JEL codes: E32, C32
• Business cycles
• structural estimation
• DSGE models
• Filters

We propose a method to estimate time in variant 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.