Empirical study of new Keynesian model using cointegrated VAR : what New Zealand data tell us
Name
606604267-MIT.pdf
Description
Full printable version
Size
1.22 MB
Format
Adobe PDF
Checksum (MD5)
05b4c275119dbb96632e4dfb08ea14fe
Author(s)
Kim, Hae-min
Advisor(s)
Michael Piore.
Date Issued
2009
Publisher
Massachusetts Institute of Technology
Abstract
Econometric analysis of rational expectations models has been a widely studied topic in the macro-econometric literature. This thesis looks in particular at evaluating Neokeynesian model (NKM) with respect to its conformity with the data. Among the available econometric techniques, this thesis investigates what cointegrated VAR can illuminate about how close the NKM gets to the data. This project closely follow the approach taken by Mikael Juselius (2008) and extends the analysis to the New Zealand data. The findings from the thesis lend support to Juselius' conclusions but in a limited way. The results from this thesis question the robustness of his claims based on US data supporting inexact rational expectations models.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Economics, 2009.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 27-28).
Subjects
Economics.
MIT Department
Massachusetts Institute of Technology. Department of Economics
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