A procedure to evaluate cyclical fluctuations under superior information

$51.63 plus tax (Refund Policy)

Buy Article:

Abstract:

This article presents and assesses a procedure to evaluate conventional moments characterizing fluctuations at the business cycle frequency, when the economic agents' information set is superior to the econometrician's one. First, we derive the theoretical conditions under which the econometrician obtains valid statistics for the moments from laws of motion for forcing variables that fully recover the agents' superior information. Second, we use a new-Keynesian monetary model to document the numerical properties of the statistics when the laws of motion are possibly misspecified and to assess the ability of certain information criteria to detect the presence of superior information.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840802552361

Affiliations: 1: Department of Management Sciences, HEC Montreal, 3000 Chemin de la Cote-Ste-Catherine, Montreal, QC, Canada, H3T 2A7 2: Department of Economics and CIRPEE, HEC Montreal, 3000 Chemin de la Cote-Ste-Catherine, Montreal, QC, Canada, H3T 2A7

Publication date: January 1, 2011

More about this publication?
Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more