Konferenzbeitrag
Evaluating misspecification in DSGE models using tests for overidentifying restrictions
In this paper I discuss the estimation of the process governing the structural shocks (or wedges) to a DSGE model, arguing that a well-specified model would satisfy certain sets of moment conditions. Based on tests for overidentifying restrictions, I compare three specifications of the Taylor rule within a simple New Keynesian model. I find that a rule which allows for the Fed to respond to four lags of inflation shows less evidence of misspecification than one where the Fed responds only to contemporaneous inflation. Raising the coe cient on the output gap to 1 instead of 0.5 gives more ambiguous results.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2013: Wettbewerbspolitik und Regulierung in einer globalen Wirtschaftsordnung - Session: Moment Matching: Application of an Alternative Estimation Approach in Macroeconomics ; No. C20-V1
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Monetary Policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Reicher, Christopher Phillip
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
- (wo)
-
Kiel und Hamburg
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Konferenzbeitrag
Beteiligte
- Reicher, Christopher Phillip
- ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Entstanden
- 2013
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