"Does inattentiveness matter for DSGE modelling? An empirical investigation",

Easaw, Joshy ORCID: https://orcid.org/0000-0003-3476-4300, Minford, Anthony ORCID: https://orcid.org/0000-0003-2499-935X and Yu, Chou Jen 2023. "Does inattentiveness matter for DSGE modelling? An empirical investigation",. Economic Modelling 118 , 106076. 10.1016/j.econmod.2022.106076

Preview

PDF - Published Version Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (1MB) | Preview

Abstract

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.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
ISSN:	1873-6122
Date of First Compliant Deposit:	3 November 2022
Date of Acceptance:	5 October 2022
Last Modified:	03 May 2023 21:03
URI:	https://orca.cardiff.ac.uk/id/eprint/153970

Actions (repository staff only)

Edit Item