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dc.contributor.authorKRIWOLUZKY, Alexander
dc.contributor.authorSTOLTENBERG, Christian A.
dc.date.accessioned2009-09-16T14:43:53Z
dc.date.available2009-09-16T14:43:53Z
dc.date.issued2009
dc.identifier.issn1830-7728
dc.identifier.urihttps://hdl.handle.net/1814/12521
dc.description.abstractUncertainty about the appropriate choice among nested models is a central concern for optimal policy when policy prescriptions from those models differ. The standard procedure is to specify a prior over the parameter space ignoring the special status of some sub-models, e.g. those resulting from zero restrictions. This is especially problematic if a model's generalization could be either true progress or the latest fad found to fit the data. We propose a procedure that ensures that the specified set of submodels is not discarded too easily and thus receives no weight in determining optimal policy. We find that optimal policy based on our procedure leads to substantial welfare gains compared to the standard practice.en
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI MWPen
dc.relation.ispartofseries2009/31en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectOptimal monetary policyen
dc.subjectmodel uncertaintyen
dc.subjectBayesian model estimationen
dc.subjectE32en
dc.subjectC51en
dc.subjectE52en
dc.titleNested Models and Model Uncertaintyen
dc.typeWorking Paperen
dc.neeo.contributorKRIWOLUZKY|Alexander|aut|
dc.neeo.contributorSTOLTENBERG|Christian A.|aut|
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