Estimating DSGE models using seasonally adjusted and unadjusted data

DOI10.1016/J.JECONOM.2012.10.004MaRDI QIDQ528165zbMATH OpenOpenAlexFDO

Authors Hikaru Saijo

Publication date 12 May 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0304407612002461

zbMATH Keywords

seasonal adjustmentbusiness cyclefrequency domainDSGE model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

Recommendations

• Seasonally and approximation errors in rational expectations models
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Cites work

• scientific article; zbMATH DE number 3680971 (Why is no real title available?)
• Estimating and testing rational expectations models when the trend specification is uncertain.
• Multiple filtering devices for the estimation of cyclical DSGE models
• Seasonality and equilibrium business cycle theories
• Seasonally and approximation errors in rational expectations models
• Using simulation methods for bayesian econometric models: inference, development,and communication
• What's news in business cycles

Cited in

(5)

• Natural rate measures in an estimated DSGE model of the U.S. Economy
• Data revisions and DSGE models
• Can we use seasonally adjusted variables in dynamic factor models?
• DSGE models, detrending, and the method of moments
• Seasonally and approximation errors in rational expectations models

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