Estimating DSGE models across time and frequency

Journal of Macroeconomics, 2015, vol. 44, issue C, 33-49

Abstract: Using a wavelet-based decomposition, this paper exploits the information in the data usually employed in the estimation of DSGE models. A simple New Keynesian model featuring price and wage rigidities is estimated for the United States across different frequencies. The estimations indicate that most structural parameters exhibit a frequency-dependent behavior. The impulse response functions also indicate frequency-dependent responses of output to the exogenous shocks. For lower frequencies, there are more persistent effects, especially for preference and technology shocks.

Keywords: Discrete wavelets transform; New Keynesian model; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C11 E32 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:44:y:2015:i:c:p:33-49

DOI: 10.1016/j.jmacro.2015.02.003

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