News shocks or parametric indeterminacy? An observational equivalence result in linear rational expectations models

This paper studies identification in linear rational expectations models with news shocks. We show that news-driven models and indeterminate equilibrium economies with i.i.d. fundamentals are observationally equivalent. This finding calls for carefully designing empirical investigations of news shocks in estimated DSGE models.

MoreLess

Year of publication:	2012
Authors:	Sorge, Marco M.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 114.2012, 2, p. 198-200
Publisher:	Elsevier
Subject:	Rational expectations \| News shocks \| Parametric indeterminacy \| Observational equivalence

More details

Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572148