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Estimating a NKBC Model for the U.S. Economy with Multiple Filters

This paper estimates a new-Keynesian DSGE model of the U.S. business cycle by employing a variety of business cycle proxies, either one-by-one or, following a recent proposal by Canova and Ferroni (2009), in a joint fashion. Objects such as posterior densities, impulse-response functions, and forecast error variance decompositions are shown to be remarkably sensitive to different filtering. This uncertainty notwithstanding, shocks to trend inflation are given robust support as the main inflation driver in the post-WWII era.