How Deep are the Deep Parameters?
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 , 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.
Volume (Year): (2002)
Issue (Month): 67-68 ()
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- 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.
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