Econometric Inference, Cyclical Fluctuations, and Superior Information

Michel Normandin ()

No 04-13, Cahiers de recherche from HEC Montréal, Institut d'économie appliquée

Abstract: This paper presents and assesses a procedure to estimate conventional parameters characterizing fluctuations at the business cycle frequency, when the economic agents’ information set is superior to the econometrician’s one. Specifically, we first generalize the conditions under which the econometrician can estimate these ‘cyclical fluctuation’ parameters from augmented laws of motion for forcing variables that fully recover the agents’ superior information. Second, we document the econometric properties of the estimates when the augmented laws of motion are possibly misspecified. Third, we assess the ability of certain information criteria to detect the presence of superior information.

Keywords: Block bootstrap; Hidden variables; Laws of motion for forcing variables; Monte Carlo simulations. (search for similar items in EconPapers)
JEL-codes: C14 C15 C32 E32 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2004-12
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Working Paper: Econometric Inference, Cyclical Fluctuations, and Superior Information (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:iea:carech:0413

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