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How Deep are the Deep Parameters?

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  • Filippo ALTISSIMO
  • Stefano SIVIERO
  • Daniele TERLIZZESE

Abstract

Policy 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 [1985], 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 Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (2002)
Issue (Month): 67-68 ()
Pages: 207-226

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Handle: RePEc:adr:anecst:y:2002:i:67-68:p:09

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  1. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  2. Alan P. Kirman, 1992. "Whom or What Does the Representative Individual Represent?," Journal of Economic Perspectives, American Economic Association, vol. 6(2), pages 117-136, Spring.
  3. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May.
  4. Thomas J. Sargent, 1980. "Interpreting economic time series," Staff Report 58, Federal Reserve Bank of Minneapolis.
  5. Frank Hahn & Robert Solow, 1997. "A Critical Essay on Modern Macroeconomic Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 026258154x, December.
  6. Christopher A. Sims, 1982. "Policy Analysis with Econometric Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 107-164.
  7. Malinvaud, Edmond, 1981. "Econometrics Faced with the Needs of Macroeconomic Policy," Econometrica, Econometric Society, vol. 49(6), pages 1363-75, November.
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Cited by:
  1. Fabio Fornari & Marcello Pericoli, 2000. "Stock Values and Fundamentals; Link or Irrationality?," Temi di discussione (Economic working papers) 378, Bank of Italy, Economic Research and International Relations Area.
  2. Jesper Linde, 2000. "Monetary Policy Analysis in Backward-Looking Models," Econometric Society World Congress 2000 Contributed Papers 1028, Econometric Society.
  3. Grégory Levieuge & Alexis Penot, 2008. "The Fed and the ECB: Why such an apparent difference in reactivity?," Post-Print halshs-00239381, HAL.
  4. Mojon, Benoît & Angeloni, Ignazio & Terlizzese, Daniele & Kashyap, Anil K., 2003. "The output composition puzzle: a difference in the monetary transmission mechanism in the euro area and U.S," Working Paper Series 0268, European Central Bank.
  5. Siviero, S. & Terlizzese, D. & Visco, I., 1999. "Are Model-Based Inflation Forecasts Used in Monetary Policymaking? A Case Study," Papers 357, Banca Italia - Servizio di Studi.
  6. Libero Monteforte & Stefano Siviero, 2002. "The economic consequences of euro area modelling shortcuts," Temi di discussione (Economic working papers) 458, Bank of Italy, Economic Research and International Relations Area.

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