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Learning dynamics in an estimated medium-sized DSGE model

Author

Listed:
  • Raf Wouters

    (National Bank of Belgium)

  • Sergey Slobodyan

    (CERGE-EI)

Abstract

We analyse how sensitive these results are to the hypothesis about the information set of the agents, for instance in the case where the PLM is based on a limited set of observed or model-based endogenous variables. Preliminary results show that the structural parameter estimates remain highly robust even under these stronger deviations from rational expectations. The model fit is more sensitive to the information set in case a training sample is used to initialize the agents’ beliefs.

Suggested Citation

  • Raf Wouters & Sergey Slobodyan, 2007. "Learning dynamics in an estimated medium-sized DSGE model," 2007 Meeting Papers 689, Society for Economic Dynamics.
    • Handle: RePEc:red:sed007:689
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    Cited by:

    1. George W. Evans & Seppo Honkapohja, 2009. "Expectations, Learning and Monetary Policy: An Overview of Recent Research," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 2, pages 027-076, Central Bank of Chile.
    2. James Murray, 2008. "Initial Expectations in New Keynesian Models with Learning," CAEPR Working Papers 2008-017, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    3. James Murray, 2008. "Initial Expectations in New Keynesian Models with Learning," Caepr Working Papers 2008-017, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    4. James Murray, 2008. "Regime Switching, Learning, and the Great Moderation," CAEPR Working Papers 2008-011, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    5. James Murray, 2008. "Regime Switching, Learning, and the Great Moderation," Caepr Working Papers 2008-011, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.

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