EconPapers    
Economics at your fingertips  
 

Does inattentiveness matter for DSGE modeling? An empirical investigation

Jenyu Chou, Joshy Easaw and A. Patrick Minford

Economic Modelling, 2023, vol. 118, issue C

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.

Keywords: Expectation formation; Inattentive expectation; New Keynesian; DSGE; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C11 C32 C52 E10 E12 E17 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999322003133
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Does Inattentiveness Matter for DSGE Modelling? An Empirical Investigation (2021) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003133

DOI: 10.1016/j.econmod.2022.106076

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2024-12-28
Handle: RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003133