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Dynamic equilibrium economies: a framework for comparing models and data

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  • Francis X. Diebold
  • Lee E. Ohanian
  • Jeremy Berkowitz

Abstract

We propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, a framework which enables a complete second-order comparison of the dynamic properties of models and data. We use bootstrap algorithms to evaluate the significance of deviations between models and data, and we use goodness-of-fit criteria to produce estimators that optimize economically relevant loss functions. We provide a detailed illustrative application to modeling the U.S. cattle cycle.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 243.

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Date of creation: 1998
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Handle: RePEc:fip:fedmsr:243

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Keywords: Equilibrium (Economics) - Mathematical models ; Cattle trade;

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References

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