Paccagnini, Alessia (2010): DSGE Model Evaluation in a Bayesian Framework: an Assessment.
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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.
|Item Type:||MPRA Paper|
|Original Title:||DSGE Model Evaluation in a Bayesian Framework: an Assessment|
|Keywords:||Bayesian Analysis, DSGE Models, Vector Autoregressions, MonteCarlo experiments|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General
|Depositing User:||Alessia Paccagnini|
|Date Deposited:||27. Aug 2010 00:31|
|Last Modified:||13. Mar 2015 10:08|
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DSGE Model Validation in a Bayesian Framework: an Assessment. (deposited 22. Aug 2010 00:46)
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