Some problems in the testing of DSGE models

Le, Vo Phuong Mai, Minford, Patrick and Wickens, Michael ORCID: https://orcid.org/0000-0002-6862-0674 2009. Some problems in the testing of DSGE models. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

Preview

PDF - Published Version Download (115kB) | Preview

Abstract

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.

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Publisher:	Cardiff University
Date of First Compliant Deposit:	30 March 2016
Last Modified:	28 Oct 2022 10:19
URI:	https://orca.cardiff.ac.uk/id/eprint/77849

Actions (repository staff only)

Edit Item