Do Data Revisions Matter for DSGE Estimation?
检验了著名DSGE模型的系数估计是否受宏观经济数据修正的影响，通过使用1997至2015年每季度的实时数据重新估计，发现结构参数估计稳健，但标准误估计对数据修正更敏感。
This paper checks whether the coefficient estimates of a famous dynamic stochastic general equilibrium (DSGE) model are robust to macroeconomic data revisions. The effects of revisions are captured by rerunning the estimation on a real‐time data set compiled using the latest time series available each quarter from 1997 through 2015. Results show that estimates of the structural parameters are generally robust to changes in the data that have occurred over the past 20 years. By comparison, standard error estimates are more sensitive to revisions. The latter implies that judgments about the statistical significance of certain parameters depend on which data vintage is used for estimation.