News shocks or parametric indeterminacy? An observational equivalence result in linear rational expectations models

被引：5
|
作者：
Sorge, Marco M. [1 ]
机构：
[1] Univ Bonn, BGSE, D-53113 Bonn, Germany
来源：
ECONOMICS LETTERS | 2012年 / 114卷 / 02期
关键词：
Rational expectations; News shocks; Parametric indeterminacy; Observational equivalence; PRICES;
D O I：
10.1016/j.econlet.2011.09.028
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper studies identification in linear rational expectations models with news shocks. We show that news-driven models and indeterminate equilibrium economies with i.i.d. fundamentals are observationally equivalent. This finding calls for carefully designing empirical investigations of news shocks in estimated DSGE models. (C) 2011 Elsevier B.V. All rights reserved.
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页码：198 / 200
页数：3
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