Arbeitspapier
Some problems in the testing of DSGE models
We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments and other features with data equivalents. We note that they select, scale and characterise the shocks without reference to the data; crucially they fail to use the joint distribution of the features under comparison. We illustrate this point by recomputing an assessment of a two-country model in a recent paper; we find that the paper's conclusions are essentially reversed.
- Sprache
-
Englisch
- Erschienen in
-
Series: Cardiff Economics Working Papers ; No. E2009/31
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Thema
-
bootstrap
US-EU model
DSGE
VAR
indirect inference
Wald statistic
anomaly
puzzle
Ökonometrisches Modell
Dynamisches Gleichgewicht
Test
Bootstrap-Verfahren
VAR-Modell
Zwei-Länder-Modell
EU-Staaten
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Vo Phuong Mai Le
Minford, Patrick
Wickens, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Cardiff University, Cardiff Business School
- (wo)
-
Cardiff
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Vo Phuong Mai Le
- Minford, Patrick
- Wickens, Michael
- Cardiff University, Cardiff Business School
Entstanden
- 2009
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