No. 750 - Estimating DSGE models with unknown data persistence

by Gianluca Moretti and Giulio Nicoletti
March 2010
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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.

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  1. 09 April 2010
    No. 750 - Estimating DSGE models with unknown data persistence
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