Arbeitspapier

Evaluating dynamic stochastic general equilibrium models using likelihood methods

This paper develops a method that uses a likelihood approach to directly compare two or more non-nested dynamic, stochastic general equilibrium (DSGE) models. It is shown how DSGE models can be compared across the whole sample and how this measure can be decomposed across individual observations thus allowing models to be compared across any sub-sample of the data. The method is applied to the problem of determining whether the technology shock process in a standard Real Business Cycle model should consist of permanent or temporary, albeit persistent, shocks. Overall, a permanent shock model has a better prediction performance than the temporary shock model. However, the model with the temporary shock performs much better for the part of the sample that includes the most of the 1980's and the 1990's.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 2002-11

Klassifikation
Wirtschaft
Bayesian Analysis: General
Model Evaluation, Validation, and Selection
Business Fluctuations; Cycles
Thema
Markov chain Monte Carlo
Model Evaluation
Real Business Cycles
Dynamisches Gleichgewicht
Real Business Cycle
Schätzung
USA

Ereignis
Geistige Schöpfung
(wer)
Landon-Lane, John S.
Ereignis
Veröffentlichung
(wer)
Rutgers University, Department of Economics
(wo)
New Brunswick, NJ
(wann)
2002

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Landon-Lane, John S.
  • Rutgers University, Department of Economics

Entstanden

  • 2002

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