What cycles? Data detrending in DSGE models

DOI10.1515/snde-2017-0084OpenAlexW3123015189WikidataQ128939018 ScholiaQ128939018MaRDI QIDQ2697036

Xiaojin Sun, Kwok Ping Tsang

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2017-0084

zbMATH Keywords

forecastingmonetary policyDSGE modelsdata detrending

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• The Beveridge-Nelson decomposition in retrospect and prospect
• Tax reform and labour-market performance in the euro area: a simulation-based analysis using the new area-wide model
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• By force of demand: explaining cyclical fluctuations of international trade and government spending
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Multiple filtering devices for the estimation of cyclical DSGE models
• Forecasting Performance of an Open Economy DSGE Model
• Estimating and testing rational expectations models when the trend specification is uncertain.

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