How Deep are the Deep Parameters?
AbstractPolicy evaluation based on the estimation of dynamic stochastic general equilibrium models rests on the assumption that a representative agent can be identified, whose behavioural parameters are policy-independent. Building on earlier work by Geweke , this paper shows that in the presence of agents' heterogenity the representative agent, if any, is not structural, as its estimated behavioural parameters are not policy-independent. The paper identifies two sources of non-structurality and provides an example illustrating its effects.
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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (2002)
Issue (Month): 67-68 ()
Other versions of this item:
- Altissimo, F. & Siviero, S. & Terlizzese, D., 1999. "How Deep Are the Deep Parameters?," Papers 354, Banca Italia - Servizio di Studi.
- Filippo Altissimo & Stefano Siviero & Daniele Terlizzese, 1999. "How deep are the deep parameters?," Temi di discussione (Economic working papers) 354, Bank of Italy, Economic Research and International Relations Area.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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