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Measures of fit for calibrated models

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Author Info

  • Mark W. Watson

Abstract

This paper develops a new procedure for assessing how well a given dynamic economic model describes a set of economic time series. To answer the question, the variables in the model are augmented with just enough error so that the model can exactly mimic the second moment properties of the actual data. The properties of this error provide a useful diagnostic for the economic model, since they show the dimensions in which model fits the data relatively well and the dimensions in which it fits the data relatively poorly.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Chicago in its series Working Paper Series, Macroeconomic Issues with number 91-9.

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Date of creation: 1991
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Handle: RePEc:fip:fedhma:91-9

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Keywords: Econometric models ; Time-series analysis;

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References

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  1. Plosser, Charles I, 1989. "Understanding Real Business Cycles," Journal of Economic Perspectives, American Economic Association, vol. 3(3), pages 51-77, Summer.
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  8. Prescott, Edward C., 1986. "Theory ahead of business-cycle measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 11-44, January.
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  15. E. Philip Howrey, 1972. "Dynamic Properties Of A Condensed Version Of The Discussion Wharton Model," NBER Chapters, in: Econometric Models of Cyclical Behavior, Vols. 1 and 2, pages 601-672 National Bureau of Economic Research, Inc.
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  23. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November.
  24. Bennett T. McCallum, 1988. "Real Business Cycle Models," NBER Working Papers 2480, National Bureau of Economic Research, Inc.
  25. Sargent, Thomas J, 1989. "Two Models of Measurements and the Investment Accelerator," Journal of Political Economy, University of Chicago Press, vol. 97(2), pages 251-87, April.
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  1. Quantitative Macroeconomics and Real Business Cycles (QM&RBC)

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