Confronting Model Misspecification in Macroeconomics
AbstractWe confront model misspecification in macroeconomics by proposing an analytic framework for merging multiple models. This framework allows us to 1) address uncertainty about models and parameters simultaneously and 2) trace out the historical periods in which one model dominates other models. We apply the framework to a richly parameterized DSGE model and a corresponding BVAR model. The merged model, fitting the data better than both individual models, substantially alters economic inferences about the DSGE parameters and about the implied impulse responses.
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Bibliographic InfoPaper provided by Department of Economics, Emory University (Atlanta) in its series Emory Economics with number 1012.
Date of creation: Nov 2010
Date of revision:
Other versions of this item:
- Waggoner, Daniel F. & Zha, Tao, 2012. "Confronting model misspecification in macroeconomics," Journal of Econometrics, Elsevier, vol. 171(2), pages 167-184.
- Daniel F. Waggoner & Tao Zha, 2010. "Confronting model misspecification in macroeconomics," Working Paper 2010-18, Federal Reserve Bank of Atlanta.
- Daniel F. Waggoner & Tao Zha, 2012. "Confronting Model Misspecification in Macroeconomics," NBER Working Papers 17791, National Bureau of Economic Research, Inc.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E2 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-11 (All new papers)
- NEP-CBA-2010-12-11 (Central Banking)
- NEP-DGE-2010-12-11 (Dynamic General Equilibrium)
- NEP-ECM-2010-12-11 (Econometrics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Confronting Model Misspecification in Macroeconomics
by Christian Zimmermann in NEP-DGE blog on 2011-01-06 00:58:27
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- Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.
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