I m new to DSGE & Dynare and after reading so many posts from the forum, I m still confuse about the data transformation in DYNARE. Appreciate it if someone can confirm that the correct procedure to transform level form data for estimation? As what I understand, from the level form data, we need to
1) Log difference
2) Demean/detrend/HP-filter
It is the correct way? If yes, then do we still need to use (prefilter=1) in the dynare code?
Thank you very much
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Data transformation in DYNARE
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Data transformation in DYNARE
by lin » Thu Aug 07, 2014 8:38 pm
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Re: Data transformation in DYNARE
by jpfeifer » Fri Aug 08, 2014 7:25 am
Please see Pfeifer(2013): "A Guide to Specifying Observation Equations for the Estimation of DSGE Models" https://sites.google.com/site/pfeiferecon/Pfeifer_2013_Observation_Equations.pdf.
Prefiltering only takes out the mean, i.e. demeans the data. It does not stationarize the data.
Prefiltering only takes out the mean, i.e. demeans the data. It does not stationarize the data.
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