DSGE Models in the Frequency Domain
41 Pages Posted: 27 Oct 2012
Date Written: October 1, 2012
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: Suggested Citation