Empirical comparison of sticky price and sticky information models

Oleg Korenok ()

Journal of Macroeconomics, 2008, vol. 30, issue 3, pages 906-927

Abstract: This paper compares empirically two alternative explanations of the relationship between aggregate price and labor share: the sticky price and the sticky information models. To compare models, we derive a similar analytical form for both models and use post WWII US labor share and aggregate price series. We use the Bayesian full information likelihood approach for parameter estimation, uncertainty evaluation, and model comparison. Statistical comparison of the two non-nested models and estimates of the empirical encompassing model lead to the same result - the sticky information model is dominated by the sticky price model. An unrestricted VAR, however, dominates both models.

Date: 2008
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Related works:
Working Paper: Empirical Comparison of Sticky Price and Sticky Information Models (2005)
Working Paper: Empirical Comparison of Sticky Price and Sticky Information Models (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:jmacro:v:30:y:2008:i:3:p:906-927

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