arXiv 11 Dec 2017 · Econometrics
arXiv:1712.03675 · PDF · DOI · OpenAlex · Extracted main text
We propose a new inferential methodology for dynamic economies that is robust to misspecification of the mechanism generating frictions. Economies with frictions are treated as perturbations of a frictionless economy that are consistent with a variety of mechanisms. We derive a representation for the law of motion for such economies and we characterize parameter set identification. We derive a link from model aggregate predictions to distributional information contained in qualitative survey data and specify conditions under which the identified set is refined. The latter is used to semi-parametrically estimate distortions due to frictions in macroeconomic variables. Based on these estimates, we propose a novel test for complete models. Using consumer and business survey data collected by the European Commission, we apply our method to estimate distortions due to financial frictions in the Spanish economy. We investigate the implications of these estimates for the adequacy of the standard model of financial frictions SW-BGG (Smets and Wouters (2007), Bernanke, Gertler, and Gilchrist (1999)).
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bernanke, Gertler, and Gilchrist (1999) The financial accelerator in a quantitative business cycle framework | 1.000 | 5 | 5 | 100% |
| 2 | Smets and Wouters (2007) Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach | 0.928 | 4 | 4 | 100% |
| 3 | Komunjer and Ng (2011) Dynamic Identification of Dynamic Stochastic General Equilibrium Models | 0.644 | 3 | 2 | 67% |
| 4 | Hall (1978) Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence | 0.644 | 2 | 2 | 100% |
| 5 | Chen, Christensen, O'Hara, and Tamer (2016) MCMC Confidence Sets for Identified Sets | 0.644 | 2 | 2 | 100% |
| 6 | Hansen and Sargent (2005) Robust estimation and control under commitment | 0.511 | 2 | 2 | 50% |
| 7 | Hansen (2013) Uncertainty Outside and Inside Economic Models | 0.511 | 2 | 2 | 50% |
| 8 | Chari, Kehoe, and McGrattan (2000) Sticky Price Models of the Business Cycle: Can the Contract Multiplier Solve the Persistence Problem? | 0.511 | 2 | 1 | 100% |
| 9 | Chernozhukov, Hong, and Tamer (2007) Estimation and Confidence Regions for Parameter Sets in Econometric Models1 | 0.511 | 2 | 1 | 100% |
| 10 | Chernozhukov and Hong (2003) An \ approach to classical estimation | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 42 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Identifying Preferences when households are financially constrained | 0.405 | 1 | 1 |