کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097005 | 1376563 | 2009 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the statistical identification of DSGE models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Dynamic Stochastic General Equilibrium (DSGE) models are now considered attractive by the profession not only from the theoretical perspective but also from an empirical standpoint. As a consequence of this development, methods for diagnosing the fit of these models are being proposed and implemented. In this article we illustrate how the concept of statistical identification, that was introduced and used by Spanos [Spanos, Aris, 1990. The simultaneous-equations model revisited: Statistical adequacy and identification. Journal of Econometrics 44, 87-105] to criticize traditional evaluation methods of Cowles Commission models, could be relevant for DSGE models. We conclude that the recently proposed model evaluation method, based on the DSGE-VAR(λ), might not satisfy the condition for statistical identification. However, our application also shows that the adoption of a FAVAR as a statistically identified benchmark leaves unaltered the support of the data for the DSGE model and that a DSGE-FAVAR can be an optimal forecasting model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 150, Issue 1, May 2009, Pages 99-115
Journal: Journal of Econometrics - Volume 150, Issue 1, May 2009, Pages 99-115
نویسندگان
Agostino Consolo, Carlo A. Favero, Alessia Paccagnini,