Title:Multiple filtering devices for the estimation of cyclical DSGE models Author(s):CANOVA, Fabio; FERRONI, FilippoDate:2011Citation:
- Quantitative Economics, 2011, Vol. 2, No. 1, pp. 73-98
Type:ArticleAbstract:We propose a method to estimate time invariant cyclical dynamic stochastic gen eral equilibrium models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated ...
Title:The dynamics of US inflation : can monetary policy explain the changes? Author(s):CANOVA, Fabio; FERRONI, FilippoDate:2012Citation:
- Journal of Econometrics, 2012, Vol. 167, No. 1, pp. 47-6
Type:ArticleAbstract:We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. ...
Title:Choosing the variables to estimate singular DSGE models Author(s):CANOVA, Fabio; FERRONI, Filippo; MATTHES, ChristianDate:2014Citation:
- Journal of Applied Econometrics, 2014, Vol. 29, No. 7, pp. 1099-1117
Type:ArticleAbstract:We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the ...