How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference
Vo Phuong Mai Le,
David Meenagh,
A. Patrick Minford and
Michael Wickens
Journal of Economic Dynamics and Control, 2011, vol. 35, issue 12, 2078-2104
Abstract:
We evaluate the Smets–Wouters New Keynesian model of the US postwar period, using indirect inference, the bootstrap and a VAR representation of the data. We find that the model is strongly rejected. While an alternative (New Classical) version of the model fares no better, adding limited nominal rigidity to it produces a ‘weighted’ model version closest to the data. But on data from 1984 onwards – the ‘great moderation’ – the best model version is one with a high degree of nominal rigidity, close to New Keynesian. Our results are robust to a variety of methodological and numerical issues.
Keywords: Bootstrap; US model; DSGE; VAR; New Keynesian; New Classical; Indirect inference; Wald statistic; Regime change; Structural break; Great moderation (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 E1 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (133)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165188911001606
Full text for ScienceDirect subscribers only
Related works:
Working Paper: How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference (2011) 
Working Paper: How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference (2009) 
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:dyncon:v:35:y:2011:i:12:p:2078-2104
DOI: 10.1016/j.jedc.2011.08.009
Access Statistics for this article
Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok
More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Catherine Liu ().