Understanding DSGE Filters in Forecasting and Policy Analysis

Download or read book Understanding DSGE Filters in Forecasting and Policy Analysis written by Michal Andrle and published by International Monetary Fund. This book was released on 2013-05-08 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces methods that allow analysts to (i) decompose the estimates of unobserved quantities into observed data, (ii) to better understand revision properties of the model, and (iii) to impose subjective prior constraints on path estimates of unobserved shocks in structural economic models. For instance, a decomposition of the flexible-price output gap, or a technology shock, into contributions of output, inflation, interest rates, and other observed variables' contribution is feasible. The intuitive nature and analytical clarity of the suggested procedures are appealing for policy-related and forecasting models.