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- W2139197706 abstract "This paper aims to shed light on potential pitfalls of dierent data …ltering and detrending procedures for the estimation of stationary DSGE models. For this purpose, a medium-sized New Keynesian model as the one developed by Smets and Wouters (2003) is used to assess the sensitivity of the structural estimates to preliminary data transformations. To examine the question, we focus on two widely used detrending and …ltering methods, the HP …lter and linear detrending. After comparing the properties of business cycle components, we estimate the model through Bayesian techniques using in turn the two dierent sets of transformed data. Empirical …ndings show that posterior distributions of structural parameters are rather sensitive to the choice of detrending. As a consequence, both the magnitude and the persistence of theoretical responses to shocks depend upon preliminary …ltering. JEL classi…cation: E3" @default.
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- W2139197706 date "2009-07-20" @default.
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- W2139197706 title "The sensitivity of DSGE models'results to data detrending" @default.
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