Bayesian estimation and data

[jpfeifer]

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Absolute newbie on dynare

Hi, this is my first message here in the forum, and I advance I’m completely new on dynare (and dubiously experienced in matlab). I came with a question, which I’m not sure it’s already replied… anyway, 35 pages are too much, so I find it faster posting it here. If I wanted to estimate the parameters of a , let’s say, NK model, having the both expressions non linearized and linearized, and I got too the varobs y (a time serie of GDP)… should I get that serie trough a filter (as the HP filter) …

Advantage of estimating on non-differenced data?

Is there any advantage to estimating on non-differenced data? Certainly estimating on differenced data is easier, and you’d expect it to be more robust too. What’s gained by using non-differenced data? You gain one extra data point, but you have as many extra parameters to infer (the initial levels of the non-stationary series). You learn something about e.g. productivity levels I guess, but you could always back this information out from the first data point and the estimated series for product…