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How Deep are the Deep Parameters?

  • Filippo ALTISSIMO
  • Stefano SIVIERO
  • Daniele TERLIZZESE

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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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. Sargent, Thomas J, 1981. "Interpreting Economic Time Series," Journal of Political Economy, University of Chicago Press, vol. 89(2), pages 213-48, April.
  2. 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.
  3. Lars Peter Hansen & Thomas J. Sargent, 1979. "Formulating and estimating dynamic linear rational expectations models," Working Papers 127, Federal Reserve Bank of Minneapolis.
  4. 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.
  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, June.
  6. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  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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