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Are Deep Parameters Policy-Invariant?

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  • Saito, Yuta

Abstract

To see the variance of the intertemporal elasticity of substitution, we do an experiment described by the following steps. First, we calibrate several models with heterogeneous agents and generate aggregate time series data. Then, we estimate the elasticity in the New Keynesian Model using the data from former models. Finally, we check and compare the estimated parameters. Our main finding is that there is some possiblity of misestimating the parameter due to the differences of fiscal policy regimes and heterogeneous agents.

Suggested Citation

  • Saito, Yuta, 2014. "Are Deep Parameters Policy-Invariant?," MPRA Paper 66236, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:66236
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    File URL: https://mpra.ub.uni-muenchen.de/66236/7/MPRA_paper_66236.pdf
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    References listed on IDEAS

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    11. Algan, Yann & Allais, Olivier & Den Haan, Wouter J., 2008. "Solving heterogeneous-agent models with parameterized cross-sectional distributions," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 875-908, March.
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    More about this item

    Keywords

    Policy-Variance; Heterogenous Agent Model;

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General

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