Estimation of DSGE Models When the Data are Persistent
---- Acknowledgments ----
This paper was presented at Brown University, the University of Michigan, the 2007 NBER Summer Institute, Princeton University, UC Berkeley, and the New York Area Macro Conference. We thank Marc Giannone,Tim Cogley, Anna Mikusheva, and two anonymous referees for many helpful comments. The second author acknowledges financial support from the National Science Foundation (SES 0549978). The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.