Statistical inference in calibrated models. (In: Special Issue on Calibration Techniques and Econometrics
Canova, Fabio (1994) Statistical inference in calibrated models. (In: Special Issue on Calibration Techniques and Econometrics. Journal of Applied Econometrics, 9, (Supplement), S123-S144.
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Description/Abstract
This paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and the evaluation of the model and provides an efficient way to conduct a sensitivity analysis for perturbations of the parameters within a reasonable range. As an illustration the methodology is applied to two problems: the equity premium puzzle and how much of the variance of actual US output is explained by a real business cycle model.
| Item Type: | Article |
|---|---|
| ISSNs: | 0883-7252 (print) |
| Related URLs: | |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HA Statistics |
| Divisions: | University Structure - Pre August 2011 > School of Social Sciences > Economics |
| Item ID: | 32937 |
| Date Deposited: | 11 Dec 2007 |
| Last Modified: | 02 Mar 2012 12:27 |
| Contributors: | Canova, Fabio (Author) |
| Date: | December 1994 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/32937 |
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