Does Inattentiveness Matter for DSGE Modelling? An Empirical Investigation

Jenyu Chou, Joshy Easaw () and A. Patrick Minford
Additional contact information
Jenyu Chou: School of Economics, University of Nottingham Ningbo China
Joshy Easaw: Cardiff Business School, http://business.cardiff.ac.uk/people/staff/joshy-easaw

No E2021/35, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: The purpose of this paper is to investigate the empirical performance of the standard New Keynesian dynamic stochastic general equilibrium (DSGE) model in its usual form with full-information rational expectations and compare it with versions assuming inattentiveness- namely sticky information and imperfect information data revision. Using a Bayesian estimation approach on US quarterly data (both realtime and survey) from 1969 to 2015, we find that the model with sticky information fits best and is the only one that can generate the delayed responses observed in the data. The imperfect information data revision model is improved fits better when survey data is used in place of real-time data, suggesting that it contains extra information.

Keywords: Forecasting Popular Votes Shares; Electoral Poll; Forecast combination, Hybrid model; Support Vector Machine (search for similar items in EconPapers)
Pages: 60 pages
Date: 2021-12
New Economics Papers: this item is included in nep-dge and nep-mac
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Related works:
Journal Article: Does inattentiveness matter for DSGE modeling? An empirical investigation (2023)
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