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Can the Kydland--Prescott Model Pass the Cogley--Nason Test?

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  • Fève, P.
  • Matheron, J.

Abstract

This paper quantitatively evaluates the ability of a Kydland and Prescott type model with permanent technology shocks and labor wedges to reproduce output persistence together with persistent impulse response functions of output to permanent and transitory shocks. When calibrated on US labor market features, this model, in which technology shocks account for the bulk of output fluctuations, successfully passes the Cogley and Nason test.

Suggested Citation

  • Fève, P. & Matheron, J., 2005. "Can the Kydland--Prescott Model Pass the Cogley--Nason Test?," Working papers 125, Banque de France.
    • Handle: RePEc:bfr:banfra:125
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    References listed on IDEAS

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    More about this item

    Keywords

    RBC Models ; Habit Leisure ; Labor Wedges ; Output Persistence;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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