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Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Listed author(s):
  • Francis X. Diebold
  • Lee E. Ohanian
  • Jeremy Berkowitz

We 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. 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 modelling the U.S. cattle cycle.

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File URL: http://hdl.handle.net/10.1111/1467-937X.00052
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Article provided by Oxford University Press in its journal The Review of Economic Studies.

Volume (Year): 65 (1998)
Issue (Month): 3 ()
Pages: 433-451

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Handle: RePEc:oup:restud:v:65:y:1998:i:3:p:433-451.
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