Authors
Fabio Canova, Matthias Paustian
Publication date
2011/5/1
Journal
Journal of Monetary Economics
Volume
58
Issue
4
Pages
345-361
Publisher
North-Holland
Description
A method to evaluate cyclical models not requiring knowledge of the DGP and the exact specification of the aggregate decision rules is proposed. We derive robust restrictions in a class of models; use some to identify structural shocks in the data and others to evaluate the class or contrast sub-models. The approach has good properties, even in small samples, and when the class of models is misspecified. The method is used to sort out the relevance of a certain friction (the presence of rule-of-thumb consumers) in a standard class of models.
Total citations
Scholar articles
F Canova, M Paustian - Journal of Monetary Economics, 2011
F Canova - Available at SSRN 324964, 2002
F Canova, M Paustian - Reserve Bank of Australia Workshop, Monetary Policy …, 2007
M Paustian - Economics working papers, Department of Economics …, 2010
F Canova, M Paustian - Economics working papers, Department of Economics …, 2010