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- W1507585924 abstract "Recent empirical literature shows that key macro variables such as GDP and productivity display long memory dynamics. For DSGE models, we propose a ‘Generalized’ Kalman Filter to deal effectively with this problem: our method connects to and innovates upon data-filtering techniques already used in the DSGE literature. We show our method produces more plausible estimates of the deep parameters as well as more accurate out-of-sample forecasts of macroeconomic data." @default.
- W1507585924 created "2016-06-24" @default.
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- W1507585924 date "2010-01-01" @default.
- W1507585924 modified "2023-10-16" @default.
- W1507585924 title "Estimating DSGE Models with Unknown Data Persistence" @default.
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- W1507585924 doi "https://doi.org/10.2139/ssrn.1670091" @default.
- W1507585924 hasPublicationYear "2010" @default.
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