A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
- Topic classification is ongoing.
- Please kindly let me know [mingze.gao@mq.edu.au] in case of any errors.
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Results 5 resources
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This paper considers a prototypical New Keynesian model, in which the equilibrium is undetermined if monetary policy is "passive." The likelihood-based estimation of dynamic equilibrium models is extended to allow for indeterminacies and sunspot fluctuations. We construct posterior weights for the determinacy and indeterminacy region of the parameter space and estimates for the propagation of fundamental and sunspot shocks. According to the estimated model, U.S. monetary policy post-1982 is consistent with determinacy, whereas the pre-Volcker policy is not. We find that before 1979 indeterminacy substantially altered the propagation of shocks.
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Policy analysis with potentially misspecified dynamic stochastic general equilibrium(DSGE) models faces two challenges: estimation of parameters thatare relevant for policy trade-offs, and treatment of the deviations from thecross-equation restrictions. Using post-1982 US data, we study the robustnessof the policy prescriptions from a state-of-the-art DSGE model with respect totwo approaches to model misspecification pursued in the recent literature: (i)adding shocks to the DSGE model and/or generalizing the processes followedby these shocks; and (ii) explicit modeling of deviations from cross-equationrestrictions (DSGE-VAR). (JEL C51, E13, E43, E52, E58)
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Researchers often hold out data from the estimation of econometric models to use for external validation. However, the use of holdout samples is suboptimal from a Bayesian perspective, which prescribes using the entire sample to form posterior model weights. This paper examines a possible rationale for the use of holdout samples: data-inspired modifications of structural models are likely to lead to an exaggeration of model fit. The use of holdout samples can, in principle, set an incentive for the modeler not to exaggerate model fit.
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This paper suggests that skill accumulation through past work experience, or "learning-by-doing" (LBD), can provide an important propagation mechanism in a dynamic stochastic general-equilibrium model, as the current labor supply affects future productivity. Our econometric analysis uses a Bayesian approach to combine micro-level panel data with aggregate time series. Formal model evaluation shows that the introduction of the LBD mechanism improves the model's ability to fit the dynamics of aggregate output and hours.
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