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Empirical Comparison of Sticky Price and Sticky Information Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Oleg Korenok (Department of Economics, VCU School of Business)
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The goal of this paper is to provide a fair empirical comparison of two alternative explanations of the relationship between aggregate price and output. We compare the empirical performance of the sticky price and the Mankiw and Reis (2002) sticky information models. We put both models in a similar analytical form and use the same data set on unit labor cost and aggregate prices in the U.S. after WWII to evaluate the models. We use the Bayesian full information likelihood approach for parameter estimation, uncertainty evaluation, and model comparison. Statistical comparison of the two non-nested models and estimates of the empirical encompassing model lead to the same result - the sticky information model is dominated by the sticky price model.
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Paper provided by EconWPA in its series Macroeconomics with number
0510004.
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Length: 30 pages
Date of creation: 03 Oct 2005Date of revision:
Handle: RePEc:wpa:wuwpma:0510004Note: Type of Document - pdf; pages: 30Contact details of provider: Web page: http://129.3.20.41
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Keywords: sticky price sticky information model selection full information likelihood Bayesian model comparison Other versions of this item:
Find related papers by JEL classification: E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
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references Cited by : (explanations , 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.)
Jonas Dovern & Joerg Doepke & Ulrich Fritsche & Jirka Slacalek, 2006.
"Sticky Information Phillips Curves: European Evidence ,"
Macroeconomics and Finance Series
200604, Hamburg University, Department Wirtschaft und Politik.
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"A Hybrid Sticky-Price and Sticky-Information Model ,"
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3540, University Library of Munich, Germany.
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