A Proposal of Flexible Trend Specification in DSGE Models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F12%3A00060948" target="_blank" >RIV/00216224:14560/12:00060948 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
A Proposal of Flexible Trend Specification in DSGE Models
Original language description
In this paper I propose flexible trend specification for estimating DSGE models on the log differences. I demonstrate this flexible trend specification on a New Keynesian DSGE model of two economies, which I consequently estimate on the data of the Czecheconomy and Euro Area 12, using Bayesian techniques. The advantage of the proposed trend specification is that the trend component and the cyclical component are modeled jointly in one model and the model itself decides which part of the data belongs tothe trend component and which part belongs to the cyclical component. The proposed trend specification is flexible in the sense that smoothness of the trend can be easily modified by different calibration of the trend parameters. Results suggest that this method is able to find very reasonable trend in the data.
Czech name
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Czech description
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Project
<a href="/en/project/1M0524" target="_blank" >1M0524: Research center on competitiveness of Czech economy</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 30th International Conference Mathematical Methods in Economics
ISBN
9788072487790
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
811-816
Publisher name
Silesian University, School of Business
Place of publication
Karviná
Event location
Karviná
Event date
Jan 1, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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