DSGE Model Evaluation in a Bayesian Framework: an Assessment

Paccagnini, Alessia (2010): DSGE Model Evaluation in a Bayesian Framework: an Assessment.

Abstract

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
• Language: English
• 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

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