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Estimating DSGE models using seasonally adjusted and unadjusted data

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  • Saijo, Hikaru

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.

Suggested Citation

  • Saijo, Hikaru, 2013. "Estimating DSGE models using seasonally adjusted and unadjusted data," Journal of Econometrics, Elsevier, vol. 173(1), pages 22-35.
    • Handle: RePEc:eee:econom:v:173:y:2013:i:1:p:22-35
    DOI: 10.1016/j.jeconom.2012.10.004
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    Cited by:

    1. Ivan Roberts & Graham White, 2015. "Seasonal Adjustment of Chinese Economic Statistics," RBA Research Discussion Papers rdp2015-13, Reserve Bank of Australia.
    2. Lilia Maliar & Serguei Maliar & John B. Taylor & Inna Tsener, 2020. "A tractable framework for analyzing a class of nonstationary Markov models," Quantitative Economics, Econometric Society, vol. 11(4), pages 1289-1323, November.
    3. Niraj Poudyal & Aris Spanos, 2022. "Model Validation and DSGE Modeling," Econometrics, MDPI, vol. 10(2), pages 1-25, April.
    4. Serguei Maliar & John Taylor & Lilia Maliar, 2016. "The Impact of Alternative Transitions to Normalized Monetary Policy," 2016 Meeting Papers 794, Society for Economic Dynamics.
    5. Jonathan H. Wright, 2013. "Unseasonal Seasonals?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 47(2 (Fall)), pages 65-126.

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    More about this item

    Keywords

    Business cycle; DSGE model; Frequency domain; Seasonal adjustment;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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