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)
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ePrint ID: 32937
Date :
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December 1994Published
Date Deposited: 11 Dec 2007
Last Modified: 16 Apr 2017 22:18
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/32937

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