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Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

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

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 use goodness-of-fit criteria to produce estimators that optimize economically relevant loss functions. The authors provide a detailed illustrative application to modelling the U.S. cattle cycle. Copyright 1998 by The Review of Economic Studies Limited.

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Article provided by Wiley Blackwell in its journal Review of Economic Studies.

Volume (Year): 65 (1998)
Issue (Month): 3 (July)
Pages: 433-51

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Handle: RePEc:bla:restud:v:65:y:1998:i:3:p:433-51
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