Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096374 | Journal of Econometrics | 2013 | 14 Pages |
Abstract
This paper evaluates the common practice of estimating dynamic stochastic general equilibrium (DSGE) models using seasonally adjusted data. The simulation experiment shows that the practice leads to sizable distortions in estimated parameters. This is because the effects of seasonality, which are magnified by the model's capital accumulation and labor market frictions, are not restricted to the so-called seasonal frequencies but instead are propagated across the entire frequency domain.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hikaru Saijo,