Evaluation and indirect inference estimation of inattentive features in a New Keynesian framework

Jenyu Chou, Yifei Cao and A. Patrick Minford

Journal of Forecasting, 2023, vol. 42, issue 3, 530-542

Abstract: We test the standard New Keynesian (NK) dynamic stochastic general equilibrium (DSGE) model with and without inattentiveness features, where inattentiveness is modeled either in the form of sticky information (SI) or imperfect information (IF) data revision. All models are estimated and tested by indirect inference. The estimated model with sticky information somewhat outperformed the estimated NK model with full‐information rational expectation (FIRE), though both passed the test easily, while the model with IF data revision was strongly rejected.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/for.2950

Related works:
Working Paper: Evaluation and Indirect Inference Estimation of Inattentive Features in a New Keynesian Framework (2022)
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:wly:jforec:v:42:y:2023:i:3:p:530-542

Access Statistics for this article

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().