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dc.contributor.advisor Rubio-Ramirez, Juan en_US
dc.contributor.advisor Zha, Tao en_US
dc.contributor.author Kim, Tae Bong en_US
dc.date.accessioned 2011-05-20T19:35:15Z
dc.date.available 2011-05-20T19:35:15Z
dc.date.issued 2011 en_US
dc.identifier.uri http://hdl.handle.net/10161/3837
dc.description Dissertation en_US
dc.description.abstract <p>This dissertation asks whether frequency misspecification of a New Keynesian model</p><p>results in temporal aggregation bias of the Calvo parameter. First, when a</p><p>New Keynesian model is estimated at a quarterly frequency while the true</p><p>data generating process is the same but at a monthly frequency, the Calvo</p><p>parameter is upward biased and hence implies longer average price duration.</p><p>This suggests estimating a New Keynesian model at a monthly frequency may</p><p>yield different results. However, due to mixed frequency datasets in macro</p><p>time series recorded at quarterly and monthly intervals, an estimation</p><p>methodology is not straightforward. To accommodate mixed frequency datasets,</p><p>this paper proposes a data augmentation method borrowed from Bayesian</p><p>estimation literature by extending MCMC algorithm with</p><p>"Rao-Blackwellization" of the posterior density. Compared to two alternative</p><p>estimation methods in context of Bayesian estimation of DSGE models, this</p><p>augmentation method delivers lower root mean squared errors for parameters</p><p>of interest in New Keynesian model. Lastly, a medium scale New Keynesian</p><p>model is brought to the actual data, and the benchmark estimation, i.e. the</p><p>data augmentation method, finds that the average price duration implied by</p><p>the monthly model is 5 months while that by the quarterly model is 20.7</p><p>months.</p> en_US
dc.subject Economics en_US
dc.subject bayesian en_US
dc.subject econometrics en_US
dc.subject macroeconomics en_US
dc.subject mixed frequency en_US
dc.subject New Keynesian model en_US
dc.subject temporal aggregation bias en_US
dc.title Essays on Macroeconomics in Mixed Frequency Estimations en_US
dc.type Dissertation en_US
dc.department Economics en_US

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