Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
32 Pages Posted: 28 Jul 1997
Date Written: April 24, 1997
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: Suggested Citation