Forum: gecon

RE: Smet &amp; Wouters [ Reply ] By: Francisco Sabido on 2020-07-10 08:44	[forum:47956]
Thank you very much!

RE: Smet & Wouters [ Reply ]
By: Karol Podemski on 2020-07-09 15:50

[forum:47938]

Hi Francisco,

sorry for late response. I think the best reference for specifying observation equations is Johaness Pfeifer paper: https://sites.google.com/site/pfeiferecon/Pfeifer_2013_Observation_Equations.pdf?attredirects=0

The current release of gEcon.estimation does not offer as many possibilities as Dynare. Only detrended and demeaned variables can be used for estimation. The planned upcoming release will allow estimation using non-demeaned series.

Smet & Wouters [ Reply ]
By: Francisco Sabido on 2019-12-19 15:46

[forum:47933]

Hi, I am trying to estimate the S&W model with real data for Spain, but I am not sure if my data have to be demean and detrended or if I can use growth rates. Once I estimate the model, how can I get the output gap, or natural output, series? I would say I should use the smoother function with my observables and variable Y_f but I am not that sure. I don't know if you could recommend a paper on output gap with DSGE models in R, in case it does exist.

Thank you very much.