Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity
Détails
ID Serval
serval:BIB_1A3588A321E1
Type
Rapport: document publié par une institution, habituellement élément d'une série.
Sous-type
Working paper: document de travail dans lequel l'auteur présente les résultats de ses travaux de recherche. Les working papers ont pour but de stimuler les discussions scientifiques avec les milieux intéressés et servent de base pour la publication d'articles dans des revues spécialisées.
Collection
Publications
Institution
Titre
Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity
Détails de l'institution
Swiss Finance Institute
Adresse
Switzerland
Date de publication
08/2009
Numéro
09-30
Genre
Research Paper
Langue
anglais
Résumé
Our paper addresses the correction of the aggregation bias in linear rational expectations models
when there is some unobserved micro-parameter heterogeneity and only macro data are available. Starting from Lewbel (1994), we propose two new consistent estimators, which rely on a flexible parametric specification of the cross-sectional parameter distributions and account for
the dependence across coefficients inherent in such models. A Monte-Carlo study reveals that
the finite-sample and asymptotic properties of the proposed estimators correct the aggregation
bias found with the maximum-likelihood and generalized-method-of-moments approaches. As a
by-product, we can also infer the cross-sectional distribution of the parameters. Finally, we re-
assess the empirical evidence about the New Keynesian Phillips curve and explain the apparent
discrepancy between micro- and macro-based estimates of the average persistence of inflation
when there is some unobserved micro-parameter heterogeneity and only macro data are available. Starting from Lewbel (1994), we propose two new consistent estimators, which rely on a flexible parametric specification of the cross-sectional parameter distributions and account for
the dependence across coefficients inherent in such models. A Monte-Carlo study reveals that
the finite-sample and asymptotic properties of the proposed estimators correct the aggregation
bias found with the maximum-likelihood and generalized-method-of-moments approaches. As a
by-product, we can also infer the cross-sectional distribution of the parameters. Finally, we re-
assess the empirical evidence about the New Keynesian Phillips curve and explain the apparent
discrepancy between micro- and macro-based estimates of the average persistence of inflation
Mots-clé
Aggregation, Rational expectations models, Heterogeneity
Création de la notice
03/05/2010 12:19
Dernière modification de la notice
20/08/2019 12:51
Données d'usage
