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Variable mismeasurement in a class of DSGE models: Comment

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  • Fair, Ray C.

Abstract

This comment points out mismeasurement of variables in the DSGE model in Smets and Wouters (2007) and in models that follow the Smets-Wouters measurement procedures. The mismeasurement errors appear to be large.

Suggested Citation

  • Fair, Ray C., 2020. "Variable mismeasurement in a class of DSGE models: Comment," Journal of Macroeconomics, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:jmacro:v:66:y:2020:i:c:s0164070420301683
    DOI: 10.1016/j.jmacro.2020.103242
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    1. Martin Beraja & Erik Hurst & Juan Ospina, 2019. "The Aggregate Implications of Regional Business Cycles," Econometrica, Econometric Society, vol. 87(6), pages 1789-1833, November.
    2. Marcin Kolasa & MichaŁ Rubaszek & PaweŁ SkrzypczyŃski, 2012. "Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1301-1324, October.
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    4. Wolters, Maik H., 2011. "Forecasting under Model Uncertainty," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48723, Verein für Socialpolitik / German Economic Association.
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    6. Maik H. Wolters, 2018. "How the baby boomers' retirement wave distorts model‐based output gap estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 680-689, August.
    7. Fair, Ray C., 2012. "Has macro progressed?," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 2-10.
    8. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.
    9. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
    10. Adrien Auclert & Ludwig Straub & Matthew Rognlie, 2019. "Micro Jumps, Macro Humps: monetary policy and business cycles in an estimated HANK model," 2019 Meeting Papers 1449, Society for Economic Dynamics.
    11. Diego Anzoategui & Diego Comin & Mark Gertler & Joseba Martinez, 2019. "Endogenous Technology Adoption and R&D as Sources of Business Cycle Persistence," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(3), pages 67-110, July.
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    1. Ray C. Fair, 2021. "What do price equations say about future inflation?," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 56(3), pages 118-128, July.

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    Keywords

    DSGE models; Measurement errors;

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