Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

32 Pages Posted: 28 Jul 1997

See all articles by Jeremy Berkowitz

Jeremy Berkowitz

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)

Multiple version iconThere are 2 versions of this paper

Date Written: April 24, 1997

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.

JEL Classification: C14, C22, C52

Suggested Citation

Berkowitz, Jeremy and Diebold, Francis X. and Ohanian, Lee E., Dynamic Equilibrium Economies: A Framework for Comparing Models and Data (April 24, 1997). Available at SSRN: https://ssrn.com/abstract=15001 or http://dx.doi.org/10.2139/ssrn.15001

Jeremy Berkowitz (Contact Author)

University of Houston - Department of Finance ( email )

Houston, TX 77204
United States

Francis X. Diebold

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1507 (Phone)
215-573-4217 (Fax)

HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
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Lee E. Ohanian

University of California, Los Angeles (UCLA) - Department of Economics ( email )

Box 951477
8283 Bunch Hall
Los Angeles, CA 90095-1477
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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