We test the standard New Keynesian (NK) Dynamic Stochastic General Equilibrium (DSGE) model with and without inattentiveness features, where inattentiveness is modelled either in the form of sticky information (SI) or imperfect information data revision (IF). All models are estimated and tested by Indirect Inference. The estimated model with sticky information somewhat outperformed the estimated NK model with full information and rational expectations (FIRE), though both passed the test easily; while the model with imperfect information data revision was strongly rejected.
|Journal||Journal of Forecasting|
|Publication status||Published Online - 29 Jan 2023|
- Inattentive expectation
- New Keynesian
- Indirect Inference