Understanding DSGE Filters in Forecasting and Policy Analysis /

This paper introduces methods that allow analysts to (i) decompose the estimates of unobserved quantities into observed data, (ii) to better understand revision properties of the model, and (iii) to impose subjective prior constraints on path estimates of unobserved shocks in structural economic mod...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awdur: Andrle, Michal
Fformat: Cylchgrawn
Iaith:English
Cyhoeddwyd: Washington, D.C. : International Monetary Fund, 2013.
Cyfres:IMF Working Papers; Working Paper ; No. 2013/098
Pynciau:
WP
Mynediad Ar-lein:Full text available on IMF
Disgrifiad
Crynodeb:This paper introduces methods that allow analysts to (i) decompose the estimates of unobserved quantities into observed data, (ii) to better understand revision properties of the model, and (iii) to impose subjective prior constraints on path estimates of unobserved shocks in structural economic models. For instance, a decomposition of the flexible-price output gap, or a technology shock, into contributions of output, inflation, interest rates, and other observed variables' contribution is feasible. The intuitive nature and analytical clarity of the suggested procedures are appealing for policy-related and forecasting models.
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Disgrifiad Corfforoll:1 online resource (23 pages)
Fformat:Mode of access: Internet
ISSN:1018-5941
Mynediad:Electronic access restricted to authorized BRAC University faculty, staff and students