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Statistical Inference in Calibrated Models

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Canova, Fabio

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Abstract

This paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and the evaluation of the model and provides an efficient way to conduct a sensitivity analysis for perturbations of the parameters within a reasonable range. As an illustration the methodology is applied to two problems: the equity premium puzzle and how much of the variance of actual U.S. output is explained by a real business cycle model. Copyright 1994 by John Wiley & Sons, Ltd.

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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 9 (1994)
Issue (Month): S (Suppl. December)
Pages: S123-44
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Handle: RePEc:jae:japmet:v:9:y:1994:i:s:p:s123-44

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  1. Martin Menner, 2006. "Monetary Propagation In Search-Theoretic Monetary Models," Economics Working Papers we066426, Universidad Carlos III, Departamento de Economía. [Downloadable!]
  2. Fabio Canova & Eva Ortega, 1996. "Testing Calibrated General Equilibrium Models," Economics Working Papers 166, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  3. Canova, Fabio, 2002. "Validating Monetary DSGE Models through VARs," CEPR Discussion Papers 3442, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  4. David Meenagh & Patrick Minford & Michael Wickensy, 2007. " Testing a DSGE model of the EU using indirect inference," CDMA Conference Paper Series 0709, Centre for Dynamic Macroeconomic Analysis, revised Mar 2008. [Downloadable!]
    Other versions:
  5. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670. [Downloadable!]
  6. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2005. "On the Fit and Forecasting Performance of New Keynesian Models," CEPR Discussion Papers 4848, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  7. Del Negro, Marco & Schorfheide, Frank, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," CEPR Discussion Papers 6119, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  8. Martin Fukac & Adrian Pagan, 2006. "Issues In Adopting Dsge Models For Use In The Policy Process," CAMA Working Papers 2006-10, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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  9. Carlo A. Favero, . "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
  10. Paul Levine & Emanuela Lotti & Joseph Pearlman, 2003. "The Immigration Surplus Revisited in a General Equilibrium Model with Endogenous Growth," Department of Economics Discussion Papers 0203, Department of Economics, University of Surrey. [Downloadable!]
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  11. An, Sungbae & Schorfheide, Frank, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  12. S. Boragan Aruoba, 2004. "Data Uncertainty in General Equilibrium," Computing in Economics and Finance 2004 131, Society for Computational Economics. [Downloadable!]
  13. ABDELKHALEK, Touhami & DUFOUR, Jean-Marie, 1997. "Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy," Cahiers de recherche 9713, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  14. Robert Amano1 & Kim McPhail & Hope Pioro & Andrew Rennison, 2002. "Evaluating the Quarterly Projection Model: A Preliminary Investigation," Working Papers 02-20, Bank of Canada. [Downloadable!]
  15. Mark A. Hooker, 1996. "Maturity structure of term premia with time-varying expected returns," Working Papers 96-4, Federal Reserve Bank of Boston. [Downloadable!]
  16. Efrem Castelnuovo, 2006. "Assessing Different Drivers of the GreatModeration in the U.S," "Marco Fanno" Working Papers 0025, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
  17. Celsa Machado, 2001. "Measuring Business Cycles: The Real Business Cycle Approach and Related Controversies," FEP Working Papers 107, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
  18. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society. [Downloadable!]
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