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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

The authors propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, which enables a complete second-order comparison of the dynamic properties of models and data. They use bootstrap algorithms to evaluate the significance of deviations between models and data, and they use goodness-of-fit criteria to produce estimators that optimize economically relevant loss functions. The authors 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 Philadelphia in its series Working Papers with number 97-7.

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Date of creation: 1997
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Handle: RePEc:fip:fedpwp:97-7

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Keywords: Time-series analysis;

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