Misspecification and Expectations Correction in New Keynesian DSGE Models
指出小规模新凯恩斯模型在解释数据动态相关性上的不足，提出用统计模型调整其计量设定，以控制遗漏传播机制的风险，并用美国季度数据进行了实证。
Abstract This paper focuses on the dynamic misspecification that characterizes the class of small‐scale New Keynesian models currently used in monetary and business cycle analysis, and provides a remedy for the typical difficulties these models have in accounting for the rich contemporaneous and dynamic correlation structure of the data. We suggest using a statistical model for the data as a device through which it is possible to adapt the econometric specification of the New Keynesian model such that the risk of omitting important propagation mechanisms is kept under control. A pseudo‐structural form is built from the baseline system of Euler equations by forcing the state vector of the system to have the same dimension as the state vector characterizing the statistical model. The pseudo‐structural form gives rise to a set of cross‐equation restrictions that do not penalize the autocorrelation structure and persistence of the data. Standard estimation and evaluation methods can be used. We provide an empirical illustration based on USA quarterly data and a small‐scale monetary New Keynesian model.