DSGE Models in the Frequency Domain

41 Pages Posted: 27 Oct 2012

See all articles by Luca Sala

Luca Sala

University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)

Date Written: October 1, 2012

Abstract

We exploit well-known features of the frequency domain to estimate a medium-scale DSGE model on different frequency bands. We study whether fit, parameter estimates and forecasting performance depend on the frequency band over which the model is estimated. The results also give guidance on how to improve the model by highlighting model performance and the role of frictions over various frequencies.

Keywords: DSGE models, frequency-domain, band maximum likelihood

JEL Classification: C11, C32, E32

Suggested Citation

Sala, Luca, DSGE Models in the Frequency Domain (October 1, 2012). Paolo Baffi Centre Research Paper No. 2012-130. Available at SSRN: https://ssrn.com/abstract=2167195 or http://dx.doi.org/10.2139/ssrn.2167195

Luca Sala (Contact Author)

University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) ( email )

Via Roentgen 1
Milan, 20136
Italy
+39 02 5836 3326 (Phone)

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