Model uncertainty, state uncertainty, and state-space models
AbstractThis technical paper considers ways to capture uncertainty in the context of so-called "state-space" models. ; State-space models are powerful tools commonly used in macroeconomics, international economics, and finance. State-space models can generate estimates of an underlying, ultimately unobserved variable—such as the natural rate of unemployment—based on the movements of other variables that are observed and have some relationship to the unobserved variable. The paper shows how several macroeconomic models can be mapped to the state-space framework, thus helping quantify uncertainty about the true model (model uncertainty) or about the amount of information available when decisions are made (state uncertainty).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Federal Reserve Bank of Kansas City in its series Research Working Paper with number RWP 12-02.
Date of creation: 2012
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-02 (All new papers)
- NEP-DGE-2012-05-02 (Dynamic General Equilibrium)
- NEP-ECM-2012-05-02 (Econometrics)
- NEP-ETS-2012-05-02 (Econometric Time Series)
- NEP-UPT-2012-05-02 (Utility Models & Prospect Theory)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hansen, Lars Peter & Sargent, Thomas J. & Wang, Neng E., 2002. "Robust Permanent Income And Pricing With Filtering," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 40-84, February.
- Barro, Robert J, 1979.
"On the Determination of the Public Debt,"
Journal of Political Economy,
University of Chicago Press, vol. 87(5), pages 940-71, October.
- Eric R. Young & Yulei Luo, 2008.
"Risk-sensitive Consumption and Savings under Rational Inattention,"
2008 Meeting Papers
64, Society for Economic Dynamics.
- Yulei Luo & Eric R. Young, 2010. "Risk-Sensitive Consumption and Savings under Rational Inattention," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(4), pages 281-325, October.
- Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini Jr., 1997.
"Robust Permanent Income and Pricing,"
Levine's Working Paper Archive
596, David K. Levine.
- Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, December.
- Huang, Chao-Hsi & Lin, Kenneth S., 1993. "Deficits, government expenditures, and tax smoothing in the United States: 1929-1988," Journal of Monetary Economics, Elsevier, vol. 31(3), pages 317-339, June.
- Yulei Luo, 2005.
"Consumption Dynamics under Information Processing Constraints,"
0505011, EconWPA, revised 03 Jun 2005.
- Yulei Luo, 2008. "Consumption Dynamics under Information Processing Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(2), pages 366-385, April.
- Luo, Yulei & Nie, Jun & Young, Eric R., 2014.
"Model uncertainty and intertemporal tax smoothing,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 45(C), pages 289-314.
- Yulei Luo & Jun Nie & Eric R. Young, 2012. "Model uncertainty and intertemporal tax smoothing," Research Working Paper RWP 12-01, Federal Reserve Bank of Kansas City.
- Luo, Yulei & Nie, Jun & Young, Eric, 2014. "Model Uncertainty and Intertemporal Tax Smoothing," MPRA Paper 54268, University Library of Munich, Germany.
- Yulei Luo & Eric R.Young & Jun Nie, 2011.
"Robust Control, Informational Frictions, and International Consumption Correlations,"
2011 Meeting Papers
209, Society for Economic Dynamics.
- Luo, Yulei & Nie, Jun & Young, Eric R., 2014. "Robust control, informational frictions, and international consumption correlations," European Economic Review, Elsevier, vol. 67(C), pages 1-27.
- Yulei Luo & Jun Nie & Eric R. Young, 2013. "Robust Control, Informational Frictions, and International Consumption Correlations," Working Papers 212013, Hong Kong Institute for Monetary Research.
- Yulei Luo & Jun Nie & Eric R. Young, 2010. "Robust control, informational frictions, and international consumption correlations," Research Working Paper RWP 10-16, Federal Reserve Bank of Kansas City.
- Yulei Luo & Jun Nie & Eric R. Young, 2010.
"Robustness, information-processing constraints, and the current account in small open economies,"
Research Working Paper
RWP 10-17, Federal Reserve Bank of Kansas City.
- Luo, Yulei & Nie, Jun & Young, Eric R., 2012. "Robustness, information–processing constraints, and the current account in small open economies," Journal of International Economics, Elsevier, vol. 88(1), pages 104-120.
- Aguiar, Mark & Gopinath, Gita, 2007. "Emerging Market Business Cycles: The Cycle is the Trend," Scholarly Articles 11988098, Harvard University Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lu Dayrit).
If references are entirely missing, you can add them using this form.