کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
965213 | 1479224 | 2016 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models](/preview/png/965213.png)
چکیده انگلیسی
In this paper we analyze the small sample properties of full information and limited information estimators in a potentially misspecified DSGE model. Therefore, we conduct a simulation study based on a standard New Keynesian model including price and wage rigidities. We then study the effects of omitted variable problems on the structural parameter estimates of the model. We find that FIML performs superior when the model is correctly specified. In cases where some of the model characteristics are omitted, the performance of FIML is highly unreliable, whereas GMM estimates remain approximately unbiased and significance tests are mostly reliable.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Macroeconomics - Volume 48, June 2016, Pages 1-18
Journal: Journal of Macroeconomics - Volume 48, June 2016, Pages 1-18
نویسندگان
Sebastian Giesen, Rolf Scheufele,