 Aggregating Rational Expectations Models in the Presence of Unobserved Micro HeterogeneityEric Jondeau and
Florian Pelgrin
No 09-30, Swiss Finance Institute Research Paper Series from Swiss Finance Institute Abstract: Our paper addresses the correction of the aggregation bias in linear rational expectations models when there is some unobserved micro-parameter heterogeneity and only macro data are available. Starting from Lewbel (1994), we propose two new consistent estimators, which rely on a flexible parametric specification of the cross-sectional parameter distributions and account for the dependence across coeffcients inherent in such models. A Monte-Carlo study reveals that the finite-sample and asymptotic properties of the proposed estimators correct the aggregation bias found with the maximum-likelihood and generalized-method-of-moments approaches. As a by-product, we can also infer the cross-sectional distribution of the parameters. Finally, we reassess the empirical evidence about the New Keynesian Phillips curve and explain the apparent discrepancy between micro- and macro-based estimates of the average persistence of inflation. Keywords: Aggregation; Rational expectations models; Heterogeneity. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0930 Access Statistics for this paper More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC. |
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