Model uncertainty and policy evaluation
Subtitle: some theory and empirics
By: William A. Brock, Steven N. Durlauf, Kenneth D. West.
Contributors: Durlauf, Steven N.; West, Kenneth D.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10916; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10916.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Econometric models.; Monetary policy -- Econometric models.
Description: "This paper explores ways to integrate model uncertainty into policy evaluation.  We first describe a general framework for the incorporation of model uncertainty into standard econometric calculations.  This framework employs Bayesian model averaging methods that have begun to appear in a range of economic studies.  Second, we illustrate these general ideas in the context of assessment of simple monetary policy rules for some standard New Keynesian specifications.  The specifications vary in their treatment of expectations as well as in the dynamics of output and inflation.  We conclude that the Taylor rule has good robustness properties, but may reasonably be challenged in overall quality with respect to stabilization by alternative simple rules that also condition on lagged interest rates, even though these rules employ parameters that are set without accounting for model uncertainty"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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