  We propose a new inferential methodology for dynamic economies that is robust
to misspecification of the mechanism generating frictions. Economies with
frictions are treated as perturbations of a frictionless economy that are
consistent with a variety of mechanisms. We derive a representation for the law
of motion for such economies and we characterize parameter set identification.
We derive a link from model aggregate predictions to distributional information
contained in qualitative survey data and specify conditions under which the
identified set is refined. The latter is used to semi-parametrically estimate
distortions due to frictions in macroeconomic variables. Based on these
estimates, we propose a novel test for complete models. Using consumer and
business survey data collected by the European Commission, we apply our method
to estimate distortions due to financial frictions in the Spanish economy. We
investigate the implications of these estimates for the adequacy of the
standard model of financial frictions SW-BGG (Smets and Wouters (2007),
Bernanke, Gertler, and Gilchrist (1999)).
