About: Using nonstationary time series for estimating small open economy model with financial frictions

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Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://mme2012.opf.slu.cz/proceedings/pdf/105_Motl.pdf
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 the model 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. 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 the model 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. (en)
Title	Using nonstationary time series for estimating small open economy model with financial frictions Using nonstationary time series for estimating small open economy model with financial frictions (en)
skos:prefLabel	Using nonstationary time series for estimating small open economy model with financial frictions Using nonstationary time series for estimating small open economy model with financial frictions (en)
skos:notation	RIV/00216224:14560/12:00061188!RIV13-MSM-14560___
http://linked.open...avai/predkladatel	Ekonomicko-správní fakulta
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Motl, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Masarykova univerzita / Ekonomicko-správní fakulta
http://linked.open...dnocenehoVysledku	176527
http://linked.open...ai/riv/idVysledku	RIV/00216224:14560/12:00061188
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	DSGE; nonstationary; balanced growth path; filter (en)
http://linked.open.../riv/klicoveSlovo	filter DSGE balanced growth path nonstationary
http://linked.open...ontrolniKodProRIV	[985B5162B06A]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Motl, Tomáš
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2012-01-01 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Silesian University, School of Business
https://schema.org/isbn	9788072487790
http://localhost/t...ganizacniJednotka	14560
is http://linked.open...avai/riv/vysledek of	Using nonstationary time series for estimating small open economy model with financial frictions

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