Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
线性理性预期模型中的确定性、不确定性与动态误设AI 解读 ↓
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线性理性预期模型中的确定性、不确定性与动态误设
- 研究问题
- 如何检验多变量线性理性预期模型是否具有唯一稳定解，并区分多重稳定解与动态误设对检验结果的影响？
- 方法与思路
- 作者结合欧拉方程系统的广义矩估计过度识别检验，以及确定性下约化形式跨方程约束的似然检验，形成检验策略。
- 材料陈述的贡献
- 摘要称，该策略计算简单、规避部分非标准推断问题，并对动态误设一致；但对特定类别的不确定均衡没有检验力。
- 阅读关注点
- 应核对两类检验的组合规则、无法识别的不确定均衡类别，以及模拟中的尺寸与功效和美国新凯恩斯模型应用设定。
- 阅读边界
- 仅据所给出版社摘要，不能把不拒绝原假设解释为确定性证据；具体正则条件与有限样本表现未说明，不推断版本变化。
原文摘要
This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model may have a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). The testing problem is addressed by a misspecification-type approach in which the overidentifying restrictions test obtained from the estimation of the system of Euler equations of the LRE model through the generalized method of moments is combined with a likelihood-based test for the cross-equation restrictions that the model places on its reduced form solution under determinacy. The resulting test has no power against a particular class of indeterminate equilibria, hence the non rejection of the null hypothesis can not be interpreted conclusively as evidence of determinacy. On the other hand, this test (i) circumvents the nonstandard inferential problem generated by the presence of the auxiliary parameters that appear under indeterminacy and that are not identifiable under determinacy, (ii) does not involve inequality parametric restrictions and hence the use of nonstandard inference, (iii) is consistent against the dynamic misspecification of the LRE model, and (iv) is computationally simple. Monte Carlo simulations show that the suggested testing strategy delivers reasonable size coverage and power against dynamic misspecification in finite samples. An empirical illustration focuses on the determinacy/indeterminacy of a New Keynesian monetary business cycle model of the US economy.