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Dynamic Equilibrium Economies: A Framework for Comparing Models and DataJeremy BerkowitzUniversity of Houston - Department of Finance Francis X. DieboldUniversity of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER) Lee E. OhanianUniversity of California, Los Angeles (UCLA) - Department of Economics; National Bureau of Economic Research (NBER) April 24, 1997 FEDS PAPER NUMBER: (97-23) Abstract: 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, C52 working papers seriesDate posted: July 28, 1997Suggested CitationContact Information
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