Estimating DSGE models across time and frequency |
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Affiliation: | 1. German Institute for Economic Research (DIW Berlin), Mohrenstr. 58, D-10117 Berlin, Germanyn;2. Freie Universität Berlin, Boltzmannstr. 20, D-14195 Berlin, Germany;1. University of Amsterdam, Tinbergen Institute and Bank of Canada, the Netherlands;2. Otto-Friedrich-Universität Bamberg and Universität Bielefeld, Germany |
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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. |
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Keywords: | Discrete wavelets transform New Keynesian model Bayesian estimation |
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