Data filtering methods impact model estimates
The choice of methods for data filtering and detredning procedures impacts the findings of stationary dynamic stochastic general equilibrium models (DSGM), new research from the National Bank of Austria reveals.
The analysis focuses at the HP filter and linear detrending and shows that posterior distributions of structural parameters are rather sensitive to the choice of detrending. The research shows that as a consequence, both the magnitude and the persistence of theoretical responses to
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