Evaluation and indirect inference estimation of inattentive features in a New Keynesian framework

Chou, Pei-Yu, Cao, Yifei and Minford, Patrick ORCID: https://orcid.org/0000-0003-2499-935X 2023. Evaluation and indirect inference estimation of inattentive features in a New Keynesian framework. Journal of Forecasting 42 (3) , pp. 530-542. 10.1002/for.2950

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Abstract

We test the standard New Keynesian (NK) Dynamic Stochastic General Equilibrium (DSGE) model under the condition with and without inattentive features, where inattentiveness is modelled in the form of sticky information and imperfect information data revision. All models are tested with the Indirect Inference method, and our test result based on real-time data suggests that the model with sticky information passes the test and consistently outperforms the baseline NK model with full information and rational expectation, while the model with imperfect information data revision fails to pass the test. Furthermore, we show that none of the models passes the test when Survey of Professional Forecaster data are use

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HG Finance
Publisher:	Wiley
ISSN:	1099-131X
Date of First Compliant Deposit:	11 April 2023
Date of Acceptance:	10 January 2023
Last Modified:	29 Jan 2025 02:45
URI:	https://orca.cardiff.ac.uk/id/eprint/157806

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