Aggregation problem in DSGE model

descriptionPublicationkeyboard_double_arrow_right Article , Conference object 01 Oct 2015Publisher:IEEEJournal:2015 International Conference on Behavioral, Economic and Socio-cultural Computing (BESC)

Authors: Lian-Sheng Yang; Shu-Heng Chen; Chia-Ling Chang; Yi-Heng Tseng;

doi: 10.1109/besc.2015.7365969

Aggregation problem in DSGE model

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Abstract

The aim of this paper is investigating the estimation bias of the standard New Keynesian DSGE econometric procedure in an environment comprising heterogeneous and interactive agents. In this case, the standard New Keynesian DSGE econometric procedures may generate spurious evidence in aggregate equations. On simulating the Ising model and processing the standard New Keynesian DSGE econometric procedure with Dynare, dramatic estimation bias is found. Particularly, the IS puzzle is found in the Ising model with different network structures.

Related Organizations

National Chengchi University
Taiwan
Nanjing University of Science and Technology
China (People's Republic of)

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