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摘要翻译：
我们提出了一种新的动态经济推理方法，它对产生摩擦的机制的错误描述具有鲁棒性。有摩擦的经济被视为与各种机制一致的无摩擦经济的扰动。我们导出了这类经济的运动规律的表示，并刻画了参数集辨识。我们从模型集合预测中导出了一个链接到定性调查数据中包含的分布信息，并指定了在什么条件下确定的集合被细化。后者用于半参数估计由于宏观经济变量中的摩擦而产生的扭曲。基于这些估计，我们提出了一个新的检验完全模型。利用欧盟委员会收集的消费者和商业调查数据，我们应用我们的方法来估计西班牙经济中由于金融摩擦造成的扭曲。我们研究了这些估计对于金融摩擦标准模型SW-BGG（Smets and Wouters(2007)，Bernanke，Gertler and Gilchrist(1999))充分性的影响。
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英文标题：
《Set Identified Dynamic Economies and Robustness to Misspecification》
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作者：
Andreas Tryphonides
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最新提交年份：
2018
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
We propose a new inferential methodology for dynamic economies that is robust to misspecification of the mechanism generating frictions. Economies with frictions are treated as perturbations of a frictionless economy that are consistent with a variety of mechanisms. We derive a representation for the law of motion for such economies and we characterize parameter set identification. We derive a link from model aggregate predictions to distributional information contained in qualitative survey data and specify conditions under which the identified set is refined. The latter is used to semi-parametrically estimate distortions due to frictions in macroeconomic variables. Based on these estimates, we propose a novel test for complete models. Using consumer and business survey data collected by the European Commission, we apply our method to estimate distortions due to financial frictions in the Spanish economy. We investigate the implications of these estimates for the adequacy of the standard model of financial frictions SW-BGG (Smets and Wouters (2007), Bernanke, Gertler, and Gilchrist (1999)).
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PDF链接：
https://arxiv.org/pdf/1712.03675
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