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| Author: | Onatski, A. Williams, N. |
| Title: | Modeling model uncertainty |
| Journal: | Journal of the European Economic Association
2003 : SEP, VOL. 1:5, p. 1087-1122 |
| Index terms: | Monetary policy Uncertainty Risk management Bayesian statistics |
| Language: | eng |
| Abstract: | The authors develop new methods to analyze uncertainty about the parameters of a model, the lag specification, the serial correlation of shocks, and the effects of real-time data in one coherent structure. They consider both parametric and nonparametric specifications of this structure and use them to estimate the uncertainty in a small model of the U.S. economy. The results suggest that the aggressiveness recently found in robust policy rules is likely to be caused by overemphasizing uncertainty about economic dynamics at low frequencies. |
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