English, Article edition: Acknowledgement Misspecification in Macroeconomic Theory Hansen, Lars-Peter; Sargent, Thomas-J

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  • article
Language
  • English

Edition details

Title
  • Acknowledgement Misspecification in Macroeconomic Theory
Author
  • Hansen, Lars-Peter
  • Sargent, Thomas-J
Physical Description
  • article
Notes
  • We explore methods for confronting model misspecification in macroeconomics. We construct dynamic equilibria in which private agents and policy makers recognize that models are approximations. We explore two generalizations of rational expectations equilibria. In one of these equilibria, decision makers use dynamic evolution equations that are imperfect statistical approximations, and in the other misspecification is impossible to detect even from infinite samples of time-series data. In the first of these equilibria, decision rules are tailored to be robust to the allowable statistical discrepancies. Using frequency domain methods, we show that robust decision makers treat model misspecification like time-series econometricians.
  • RePEc:ime:imemes:v:19:y:2001:i:s1:p:213-27
Language
  • English
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