| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13145 |
| DP13145 Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models | |
| Wouter Den Haan; Thomas Drechsel | |
| 发表日期 | 2018-08-29 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Exogenous random structural disturbances are the main driving force behind fluctuations in most business cycle models and typically a wide variety is used. This paper documents that a minor misspecification regarding structural disturbances can lead to large distortions for parameter estimates and implied model properties, such as impulse response functions with a wrong shape and even an incorrect sign. We propose a novel concept, namely an agnostic structural disturbance (ASD), that can be used to both detect and correct for misspecification of the structural disturbances. In contrast to regular disturbances and wedges, ASDs do not impose additional restrictions on policy functions. When applied to the Smets-Wouters (SW) model, we find that its risk-premium disturbance and its investment-specific productivity disturbance are rejected in favor of our ASDs. While agnostic in nature, studying the estimated associated coefficients and the impulse response functions of these ASDs allows us to interpret them economically as a risk-premium/preference and an investment-specific productivity type disturbance as in SW, but our results indicate that they enter the model quite differently than the original SW disturbances. Our procedure also selects an additional wage mark-up disturbance that is associated with increased capital efficiency. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Dsge Full-information model estimation Structural disturbances |
| URL | https://cepr.org/publications/dp13145 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541948 |
| 推荐引用方式 GB/T 7714 | Wouter Den Haan,Thomas Drechsel. DP13145 Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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