Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
University of Houston - Department of Finance
Francis X. Diebold
University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)
Lee E. Ohanian
University of California, Los Angeles (UCLA) - Department of Economics; National Bureau of Economic Research (NBER)
April 24, 1997
FEDS PAPER NUMBER: (97-23)
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.
Number of Pages in PDF File: 32
JEL Classification: C14, C22, C52working papers series
Date posted: July 28, 1997
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