Critically assessing estimated DSGE models: A case study of a multi-sector model

Xianglong Liu, Adrian Pagan and Tim Robinson

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We describe methods for assessing estimated Dynamic Stochastic General Equilibrium (DSGE) models. One involves the computation of alternative impulse responses from models constrained to have an identical likelihood and the same contemporaneous signs as responses in the DSGE model. Others ask how well the model matches the data generating process; whether there is weak identification; the consequences of including measurement error with growth rates of non-stationary variables; and whether the model can reproduce features of the data that involve combinations of moments. The methods are applied to a large-scale small-open economy DSGE model, typical of those used at policy institutions.

Pages: 35 pages
Date: 2018-01
New Economics Papers: this item is included in nep-dge and nep-ecm
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Citations: View citations in EconPapers (10)

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https://cama.crawford.anu.edu.au/sites/default/fil ... u_pagan_robinson.pdf (application/pdf)

Related works:
Journal Article: Critically Assessing Estimated DSGE Models: A Case Study of a Multi‐sector Model (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2018-04

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