It is unavoidable that empirical models are misspecified in various ways, but adopted empirical methodologies rarely address this. This column focuses on the misspecification of exogenous structural disturbances which are the forces that drive fluctuations in modern business cycle models. It shows that the conclusions drawn from estimated models can be severely distorted if structural disturbances enter the model in an incorrect way, even if the misspecification is minor. It proposes the novel concept of an agnostic structural disturbance, which can be used to detect and correct for misspecification of structural disturbances. While agnostic in nature, studying how ASDs affect model properties enables us to give them an economic interpretation.
Wouter den Haan, Thomas Drechsel, 16 January 2019
Most Read
-
Ha, Kose, Ohnsorge
-
van den Heuvel, Popp
-
Ambrocio, Ferrero, Jokivuolle, Ristolainen
-
Gandhi, Kahn, Kochhar, Lall, Tandel
-
Diemer, Iammarino, Rodríguez-Pose, Storper
-
Burgess, Sievertsen
-
Eichengreen, O'Rourke
-
Mitze, Kosfeld, Rode, Wälde
-
Heldring, Robinson
-
Allen
Blogs&Reviews
-
Carraro, Cœuré, Dhand, Eichengreen, Mills, Rey, Sapir, Schwarzer
-
Evenett
-
Fullerton, Levinson
-
Hoffmann, Moench, Pavlova, Schultefrankenfeld
-
Reichlin, Adam, McKibbin, McMahon, Reis, Ricco, Weder di Mauro
Vox eBooks

Fink, Ménière, Toole, Veugelers, 13 July 2022
Don't Miss
Kalemli-Ozcan
Sunde, Rohner, Berlanda
Events
-
22 - 23 August 2022 / Palais Coburg, Vienna, Austria / WU Vienna University of Economics and Business Research Institute for Capital Markets (ISK)
-
23 - 25 August 2022 / Online /
-
29 - 31 August 2022 / Barcelona Spain / Central Bank Research Association (CEBRA)
-
7 - 8 September 2022 / Roma Eventi, Congress Center, Pontificia Università Gregoriana Rome, Italy / European Center of Sustainable Development , CIT University
-
11 - 14 September 2022 / Basel University / Verein fue Socialpolitik/Basel University
CEPR Policy Research
-
Gobillon, Solignac
-
Giglio, Maggiori, Stroebel, Weber
-
Summers, Fatás
-
Favero, Galasso
-
Butt, Churm, McMahon, Morotz, Schanz
-
Eichengreen, Avgouleas, Poiares Maduro, Panizza, Portes, Weder di Mauro, Wyplosz, Zettelmeyer
-
Baldwin, Beck, Bénassy-Quéré, Blanchard, Corsetti, De Grauwe, den Haan, Giavazzi, Gros, Kalemli-Ozcan, Micossi, Papaioannou, Pesenti, Pissarides , Tabellini, Weder di Mauro
-
Baldwin, Nakatomi
-
Thimann
-
Goodhart, Perotti