文章基本信息

标题：ENDOGENOUS PERSISTENCE IN AN ESTIMATED DSGE MODEL UNDER IMPERFECT INFORMATION
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作者：Paul Levine ; Joseph Pearlman ; George Perendia 等
期刊名称：Discussion Papers in Economics / Department of Economics, University of Surrey
出版年度：2010
卷号：2010
出版社：University of Surrey
摘要：We provide a tool for estimating DSGE models by BayesianMaximum-likelihood meth- ods under very general information assumptions. This framework is applied to a New Keynesian model where we compare the standard approach, that assumes an informa- tional asymmetry between private agents and the econometrician, with an assumption of informational symmetry. For the former, private agents observe all state variables including shocks, whereas the econometrician uses only data for output, inﬂation and interest rates. For the latter both agents have the same imperfect information set and this corresponds to what we term the ‘informational consistency principle’. We ﬁrst assume rational expectations and then generalize the model to allow some households and ﬁrms to form expectations adaptively. We ﬁnd that in terms of model posterior probabilities, impulse responses, second moments and autocorrelations, the assumption of informational symmetry by rational agents signiﬁcantly improves the model ﬁt. We also ﬁnd qualiﬁed empirical support for the heterogenous expectations model.
关键词：Keywords: Imperfect Information, DSGE Model, Rational versus Adaptive Expectations, Bayesian Estimation