Arbeitspapier
Does inattentiveness matter for DSGE modelling? An empirical investigation
The purpose of this paper is to investigate the empirical performance of the standard New Keynesian dynamic stochastic general equilibrium (DSGE) model in its usual form with full-information rational expectations and compare it with versions assuming inattentiveness- namely sticky information and imperfect information data revision. Using a Bayesian estimation approach on US quarterly data (both real-time and survey) from 1969 to 2015, we find that the model with sticky information fits best and is the only one that can generate the delayed responses observed in the data. The imperfect information data revision model is improved fits better when survey data is used in place of real-time data, suggesting that it contains extra information.
- Language
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Englisch
- Bibliographic citation
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Series: Cardiff Economics Working Papers ; No. E2021/35
- Classification
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Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
General Aggregative Models: General
General Aggregative Models: Keynes; Keynesian; Post-Keynesian
General Aggregative Models: Forecasting and Simulation: Models and Applications
- Subject
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Expectation formation
Inattentive expectation
New Keynesian
DSGE
Bayesian estimation
- Event
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Geistige Schöpfung
- (who)
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Chou, Jenyu
Easaw, Joshy Z.
Minford, Patrick
- Event
-
Veröffentlichung
- (who)
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Cardiff University, Cardiff Business School
- (where)
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Cardiff
- (when)
-
2021
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chou, Jenyu
- Easaw, Joshy Z.
- Minford, Patrick
- Cardiff University, Cardiff Business School
Time of origin
- 2021
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