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

Record type: Article

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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Citation

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

More information

Published date: December 1994

Identifiers

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: 17 Jul 2017 15:54

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Contributors

Author: Fabio Canova

University divisions


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