Using nonstationary time series for estimating small open economy model with financial frictions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F12%3A00061188" target="_blank" >RIV/00216224:14560/12:00061188 - isvavai.cz</a>
Result on the web
<a href="http://mme2012.opf.slu.cz/proceedings/pdf/105_Motl.pdf" target="_blank" >http://mme2012.opf.slu.cz/proceedings/pdf/105_Motl.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Using nonstationary time series for estimating small open economy model with financial frictions
Original language description
This paper compares results of small open economy DSGE model estimation with prefiltered data and non-prefiltered data. There are at least two ways of taking a model to data: (i) filtering the historical time series outside the model in order to render them stationary or (ii) solving the model around balanced growth path and using nonstationary time series in estimation. While filtering is ubiquitous, there are number of problems associated with it. In particular, prefiltering time series outside of themodel using univariate filters (the usual method) results in loss of information. This paper employs small open economy model with financial accelerator to show how prefiltering using univariate filters influences estimates of model parameters and the output gap. It concludes that for small-scale small open economy DSGE models, other ways of dealing with the filtering problem might be worth considering.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
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
611-616
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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