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Business cycle measurement with some theory
Canova, Fabio; Paustian, Matthias
Universitat Pompeu Fabra. Departament d'Economia i Empresa
A method to evaluate cyclical models not requiring knowledge of the DGP and the exact specificationof the aggregate decision rules is proposed. We derive robust restrictions in a class of models; use someto identify structural shocks in the data and others to evaluate the class or contrast sub-models. Theapproach has good properties, even in small samples, and when the class of models is misspecified. Themethod is used to sort out the relevance of a certain friction (the presence of rule-of-thumb consumers)in a standard class of models.
Macroeconomics and International Economics
sign restrictions
shock identification
model validation
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