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Measures of Fit for Calibrated Models

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  • 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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File URL: http://www.nber.org/papers/t0102.pdf
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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0102.

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Date of creation: May 1991
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Publication status: published as Journal of Political Economy, vol. 101, no. 6, (December 1993) p. 1011-1041
Handle: RePEc:nbr:nberte:0102

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  12. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
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  1. Quantitative Macroeconomics and Real Business Cycles (QM&RBC)

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