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DSGE Model Validation in a Bayesian Framework: an Assessment

Listed author(s):
  • Paccagnini, Alessia

This paper presents the concept of Model Validation applied to a Dynamic Stochastic General equilibrium Model (DSGE). The main problem discussed is the approximation of the statistical representation for a DSGE model when not all endogenous variables are observable. MonteCarlo experiments in artificial world are implemented to assess this problem by using the DSGE-VAR. Two Data Generating Processes are compared: a forward-looking and a backward-looking model. These experiments are followed by an empirical analysis with real world data for the US economy.

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File URL: https://mpra.ub.uni-muenchen.de/24509/1/MPRA_paper_24509.pdf
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File URL: https://mpra.ub.uni-muenchen.de/24639/2/MPRA_paper_24639.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24509.

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Date of creation: 01 May 2010
Handle: RePEc:pra:mprapa:24509
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