4A method to estimate DSGE models using the raw data is proposed. The approach widely discussed issues are used to illustrate its practical use.
12JEL classi…cation: E3, C3.
13Keywords: DSGE models, Filters, Structural estimation, Business cycles. 14 I would like to thank Bob King (the editor), two anonymous referees, Frank Schorfheide, Tim Cogley, Giorgio Primiceri, Tao Zha, Chris Sims, Harald Uhlig and the participants of seminars at the Bank of England, Bank of Italy, BIS, UCL, Yale, EUI, Universi…
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