Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Evaluating dynamic general equilibrium models.

Theodoridis, Konstantinos. 2006. Evaluating dynamic general equilibrium models. PhD Thesis, Cardiff University.

[img] PDF - Accepted Post-Print Version
Download (4MB)


In this thesis we introduce a new bootstrap method for testing structural DSGE models according to their dynamic performance. The method maintains a separation between the structural (non-linear) model as the null hypothesis and its dynamic time series representation. The model's errors are discovered and used for bootstrapping (after whitening) the resulting pseudo-samples are used to discover the sampling distribution of the dynamic time series model. The test then consists of discovering whether the parameters of the time-series model estimated on the actual data lie within some confidence interval of this distribution. A test statistic for the parameters taken as a whole is developed (the M-metric, a Wald statistic).

Item Type: Thesis (PhD)
Status: Unpublished
Schools: Business (Including Economics)
ISBN: 9781303174681
Date of First Compliant Deposit: 30 March 2016
Last Modified: 12 Feb 2016 23:12

Citation Data

Actions (repository staff only)

Edit Item Edit Item


Downloads per month over past year

View more statistics