Dynamic equilibrium economies: a framework for comparing models and data
Abstract: 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 modeling the U.S. cattle cycle.
Keywords: Econometric models;
File(s): File format is text/html http://www.federalreserve.gov/pubs/feds/1997/199723/199723abs.html
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Part of Series: Finance and Economics Discussion Series
Publication Date: 1997