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Sensitivity Analysis and Model Evaluation in Simulated Dynamic General Equilibrium Economies

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  • Canova, Fabio

Abstract

This paper describes a Monte Carlo procedure to evaluate dynamic nonlinear general equilibrium macro models. The procedure makes the choice of parameters and the evaluation of the model less subjective than standard calibration techniques, it provides more general restrictions than estimation by simulation approaches, and provides a way to conduct global sensitivity analysis for reasonable perturbations of the parameters. As an illustration, the technique is applied to three examples involving different models and statistics. Copyright 1995 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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  • Canova, Fabio, 1995. "Sensitivity Analysis and Model Evaluation in Simulated Dynamic General Equilibrium Economies," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(2), pages 477-501, May.
    • Handle: RePEc:ier:iecrev:v:36:y:1995:i:2:p:477-501
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