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Evaluating DSGE Models: From Calibration to Cointegration

In: Econometrics - Recent Advances and Applications

Author

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  • Bjornar Karlsen Kivedal

Abstract

This chapter examines the historical development of estimating new Keynesian dynamic stochastic equilibrium (DSGE) models. I focus, in particular, on how cointegration can be used in order to test and estimate the relationships in these models using a simple RBC model as an example. Empirical evaluation of a model is critical to validate the theory, and this should be an essential step when analyzing DSGE models. The chapter illustrates the use of various estimation techniques when estimating DSGE models and compares these methods to using cointegration when estimating and evaluating DSGE models.

Suggested Citation

  • Bjornar Karlsen Kivedal, 2023. "Evaluating DSGE Models: From Calibration to Cointegration," Chapters, in: Brian Sloboda (ed.), Econometrics - Recent Advances and Applications, IntechOpen.
    • Handle: RePEc:ito:pchaps:309224
    DOI: 10.5772/intechopen.111677
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    More about this item

    Keywords

    DSGE models; calibration; estimation; cointegration; RBC model;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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