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...

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Bibliografiske detaljer
Hovedforfatter: Andrle, Michal
Format: Tidsskrift
Sprog:English
Udgivet: Washington, D.C. : International Monetary Fund, 2013.
Serier:IMF Working Papers; Working Paper ; No. 2013/098
Fag:
WP
Online adgang:Full text available on IMF
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520 3 |a 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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