Dynamic equilibrium economies: A framework for comparing models and data

• 成果类型: Article
• 署名作者: Diebold, FX; Ohanian, LE; Berkowitz, J
• 署名单位: University of Pennsylvania; University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1111/1467-937X.00052
• 发表日期: 1998
• 页码: 433-451
• 关键词: business-cycle models; calibration; POLICY; bootstrap; output; GROWTH

摘要

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.