Applying BP filter in DSGE Model

[Eriador]

Hi,

I am trying to apply a Band pass filter in my RBC DSGE model. I have had a look at the codes and cannot find them anywhere.
If anyone can find or help me with finding or creating the code would be very helpful.
Thank you in advance.

E

[jpfeifer]

In the current unstable version, there is an option

Code: Select all

bandpass_filter

for this. See https://github.com/DynareTeam/dynare/blob/master/tests/moments/example1_bp_test.mod

[Eriador]

Thank you for your response.

I have found a way to convert the data beforehand and then use that in estimating parameters for the NK model.

[jpfeifer]

Please be aware of the pitfalls of filtering when doing Bayesian estimation. 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.

[Eriador]

Thank you for the prompting me. I have had a look through your guide. I am using Smet wouters 2007 data and the codes are all there for me to use on the NK model estimation. I will be using Bayesian estimation, if you can elaborate more on some of the problems so I can research it.

[jpfeifer]

When doing Bayesian estimation, you should use a first difference filter or linear trend, not a two-sided filter like a bandpass or two-sided HP filter

[Eriador]

Thank you for your help. I will include this in my analysis.