Appendix: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models

The appendix discusses computational aspects of the paper “Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.” These topics range from solving the baseline new Keynesian dynamic stochastic general equilibrium (NKDSGE) model, estimating the structural infinite-order vector moving averages, checking whether these models recover the fundamental shocks, to computing the permanent and transitory output and consumption growth spectral densities. More evidence about the fit of the NKDSGE models is also reviewed. The NKDSGE models are evaluated using alternative priors, and modification of the VARs generating the posterior distributions, and a different goodness of fit statistic. These evaluations reflect the robustness of the evidence about NKDSGE model fit reported in “Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.”

Graduate School of Economics, Hitotsubashi University

2012-11

English(eng)

technical report

VoR

46

Discussion papers / Graduate School of Economics, Hitotsubashi University

https://hdl.handle.net/10086/23297