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Statistical inference in calibrated models. (In: Special Issue on Calibration Techniques and Econometrics

Statistical inference in calibrated models. (In: Special Issue on Calibration Techniques and Econometrics
Statistical inference in calibrated models. (In: Special Issue on Calibration Techniques and Econometrics
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.
0883-7252
S123-S144
Canova, Fabio
d700bd9a-5f63-4782-9eda-64c5b8fe2dc5
Canova, Fabio
d700bd9a-5f63-4782-9eda-64c5b8fe2dc5

Canova, Fabio (1994) Statistical inference in calibrated models. (In: Special Issue on Calibration Techniques and Econometrics. Journal of Applied Econometrics, 9 (Supplement), S123-S144.

Record type: Article

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.

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Published date: December 1994
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Local EPrints ID: 32937
URI: http://eprints.soton.ac.uk/id/eprint/32937
ISSN: 0883-7252
PURE UUID: 1c58c476-43ec-4e31-9718-6fbb25cb556f

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Date deposited: 11 Dec 2007
Last modified: 11 Dec 2021 15:18

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Author: Fabio Canova

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