Cover Image
Read Now

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...

Full description

Bibliographic Details
Main Author: Andrle, Michal
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2013
Series:IMF Working Papers
Subjects:
Inflation
Output Gap
Economic Forecasting
Deflation
Monetary Policy, Central Banking, And The Supply Of Money And Credit: General
Production
Computable And Other Applied General Equilibrium Models
Dynamic Stochastic General Equilibrium Models
Forecasting
Macroeconomics: Production
Price Level
Forecasting And Other Model Applications
Econometric Models
Econometric And Statistical Methods: General
Prices
Macroeconomics
Econometrics
Economic Theory
Econometrics & Economic Statistics
Production And Operations Management
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:23 pages
ISBN:9781484301357

Similar Items