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Are Deep Parameters Policy-Invariant?

Saito, Yuta (2014): Are Deep Parameters Policy-Invariant?

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To see the variance of the intertemporal elasticity of substitution, we do an experiment described by the following steps. First, we calibrate several models with heterogeneous agents and generate aggregate time series data. Then, we estimate the elasticity in the New Keynesian Model using the data from former models. Finally, we check and compare the estimated parameters. Our main finding is that there is some possiblity of misestimating the parameter due to the differences of fiscal policy regimes and heterogeneous agents.

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