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Dealing with Misspecification in DSGE Models: A Survey

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  • Paccagnini, Alessia

Abstract

Dynamic Stochastic General Equilibrium (DSGE) models are the main tool used in Academia and in Central Banks to evaluate the business cycle for policy and forecasting analyses. Despite the recent advances in improving the fit of DSGE models to the data, the misspecification issue still remains. The aim of this survey is to shed light on the different forms of misspecification in DSGE modeling and how the researcher can identify the sources. In addition, some remedies to face with misspecification are discussed.

Suggested Citation

  • Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:82914
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    1. Dealing with Misspecification in DSGE Models: A Survey
      by Christian Zimmermann in NEP-DGE blog on 2018-02-10 04:25:16

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    Cited by:

    1. Marcin Kolasa & Michal Rubaszek, 2016. "Does foreign sector help forecast domestic variables in DSGE models?," EcoMod2016 9393, EcoMod.

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    Keywords

    DSGE Models; Misspecification; Estimation; Bayesian Estimation;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E0 - Macroeconomics and Monetary Economics - - General
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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