Agnostic Structural Disturbances (ASDs): Detecting and reducing misspecification in empirical macroeconomic models

• 成果类型: Article
• 署名作者: Den Haan, Wouter J.; Drechsel, Thomas
• 署名单位: University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.01.005
• 发表日期: 2021
• 关键词: dsge; Full-information model estimation; Structural disturbances

摘要

Constructing empirical specifications for structural economic models is difficult, if not impossible. As shown in this paper, even minor misspecifications may lead to large distortions for parameter estimates and implied model properties. We propose a novel concept, namely an agnostic structural disturbance (ASD), that can be used to both detect and correct for misspecification of structural disturbances and is easy to implement. While agnostic in nature, the estimated coefficients and associated impulse response functions of the ASDs allow us to give them an economic interpretation. We adopt the methodology to the Smets-Wouters model and formulate an improved risk-premium and an improved investment-specific productivity disturbance. (C) 2020 The Authors. Published by Elsevier B.V.