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Are linear models really unuseful to describe business cycle data?
Lopes, Artur C. B. da Silva; Zsurkis, Gabriel Florin - 2017
need to use nonlinear models to describe business cycle dynamic behaviour. Their approach is model (estimation)-free, based … frequently useful. Contrarily to common knowledge, nonlinear business cycle variation does not seem to be a universal … nonlinear dynamics for some further countries is obtained indirectly, through unit root tests, but this can hardly be invoked to …
Persistent link: https://www.econbiz.de/10011596878
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Selecting primal innovations in DSGE models
Ferroni, Filippo; Grassi, Stefano; León-Ledesma, Miguel A. - 2017
DSGE models are typically estimated assuming the existence of certain primal shocks that drive macroeconomic fluctuations. We analyze the consequences of estimating shocks that are "non-existent" and propose a method to select the primal shocks driving macroeconomic uncertainty. Forcing these...
Persistent link: https://www.econbiz.de/10012030335
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Fundamental shock selection in DSGE models
Ferroni, Filippo; Grassi, Stefano; León-Ledesma, Miguel A. - 2015
DSGE models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We analyze the consequences of introducing nonfundamental shocks for the estimation of DSGE model parameters and propose a method to select the structural shocks driving...
Persistent link: https://www.econbiz.de/10010517720
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A Composite Likelihood Approach for Dynamic Structural Models
Canova, Fabio - 2019
We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology has the potential to resolve well-known problems. In each case we consider,...
Persistent link: https://www.econbiz.de/10012898448
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Selecting primal innovations in DSGE models
Ferroni, Filippo; Grassi, Stefano; León-Ledesma, Miguel A. - 2017
DSGE models are typically estimated assuming the existence of certain primal shocks that drive macroeconomic fluctuations. We analyze the consequences of estimating shocks that are \non-existent" and propose a method to select the primal shocks driving macroeconomic uncertainty. Forcing these...
Persistent link: https://www.econbiz.de/10011774976
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Sparse trend estimation
Crump, Richard K.; Gospodinov, Nikolaj; Wieman, Hunter - 2023
The low-frequency movements of many economic variables play a prominent role in policy analysis and decision-making. We develop a robust estimation approach for these slow-moving trend processes, which is guided by a judicious choice of priors and is characterized by sparsity. We present some...
Persistent link: https://www.econbiz.de/10013548955
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Sparse Trend Estimation
Crump, Richard K.; Gospodinov, Nikolay; Wieman, Hunter - 2023
The low-frequency movements of many economic variables play a prominent role in policy analysis and decision-making. We develop a robust estimation approach for these slow-moving trend processes, which is guided by a judicious choice of priors and is characterized by sparsity. We present some...
Persistent link: https://www.econbiz.de/10014257843
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Extracting business cycle fluctuations: What do time series filters really do?
Estrella, Arturo - 2007
Various methods are available to extract the “business cycle component” of a given time series variable. These methods may be derived as solutions to frequency extraction or signal extraction problems and differ in both their handling of trends and noise and their assumptions about the ideal...
Persistent link: https://www.econbiz.de/10010283367
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Short Term Analysis of Raw Data and Business Cycle Estimation - Part 1 : Estimation and Tests (Analyse Conjoncturelle de Données Brutes et Estimation de Cycles Partie 1: Estimation...
Lacroix, Renaud - 2010
Short-term analysis is generally performed with seasonally adjusted data from which further estimation of the business cycle is performed through well-known filters (HP, Baxter-King). However, the whole procedure is not fully consistent, because seasonal adjustment and trend-cycle estimation do...
Persistent link: https://www.econbiz.de/10013137997
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Short Term Analysis of Raw Data and Business Cycle Estimation - Part 2 : Empirical Implementation (Analyse Conjoncturelle de Données Brutes et Estimation de Cycles Partie 2: Mise e...
Lacroix, Renaud - 2010
This paper investigates the properties of the decomposition of a time series presented in a companion paper (Lacroix, (2008)). The procedure relies upon an extension of Beveridge-Nelson methodology. We focus on its empirical implementation and show the need for additional steps in order to...
Persistent link: https://www.econbiz.de/10013138000