Comparing Evaluation Methodologies for Stochastic Dynamic General Equilibrium Models
AbstractThis paper "tests" the performance of the approaches of Watson (1993), DeJong, Ingram and Whiteman (1996), Canova and De Nicolo (1995) and Ortega (1998) for evaluating stochastic dynamic general equilibrium models using Monte Carlo techniques. It asks: Do different model evaluation methodologies effectively improve an informal approach as in the typical calibration exercise? Are they only valid under limited assumptions, for evaluating the fit over a particular set of statistics or a particular model?
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9820.
Length: 50 pages
Date of creation: 1998
Date of revision:
ECONOMETRICS ; STOCHASTIC MODELS ; GENERAL EQUILIBRIUM;
Find related papers by JEL classification:
- D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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