Advanced Search
MyIDEAS: Login

Estimating the Deep Parameters of RBC Model with Learning

Contents:

Author Info

  • Stefano Eusepi
  • Stefania D'Amico
Registered author(s):

    Abstract

    We formulate and estimate a RBC model with structural changes and with bounded rationality, where the economic agents have to learn about the former. This paper investigates whether the agents’ learning process can generate business cycles fluctuations which are empirically plausible. This in turn implies the estimation of the structural parameters of the model. The estimation is carried out using indirect inference methods that allow to deal with the nonlinearity generated by the learning process and do not require the estimation of the agents’ initial beliefs. Furthermore, given that the asymptotic behavior of the agents’ beliefs depends only on the deep parameters of the model, our econometric approach does not require the estimation of extra free parameters, compared with the RBC model under rational expectations. We find that private agents’ expectations have a significant role in explaining business cycle fluctuations.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 404.

    as in new window
    Length:
    Date of creation: 11 Nov 2005
    Date of revision:
    Handle: RePEc:sce:scecf5:404

    Contact details of provider:
    Email:
    Web page: http://comp-econ.org/
    More information through EDIRC

    Related research

    Keywords: RBC Model; Bounded Rationality; Simulated quasi-maximum likelihood;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:sce:scecf5:404. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.