Target Fitting and Robustness Analysis in CGE Models

Gabriel Garber and Eduardo Haddad

No 2012_14, Working Papers, Department of Economics from University of São Paulo (FEA-USP)

Abstract: This paper proposes a methodology to integrate econometric models with Johansen-type computable general equilibrium (CGE) models in instances when it is necessary to generate results consistent with a subset of variables that are endogenous to both models. Results for a subset of the CGE endogenous variables are generated from econometric models, and set as targets to be replicated by the CGE model. The methodology is further extended for robustness testing of the outcomes in cases which the targeted scenarios are random. The proposed methodology is illustrated by simulating the impacts of a monetary shock in Brazil.

Keywords: Model integration; target fitting; sensitivity analysis; CGE models; monetary (search for similar items in EconPapers)
JEL-codes: C63 C68 R13 R15 (search for similar items in EconPapers)
Date: 2012-08-12
New Economics Papers: this item is included in nep-cmp and nep-ecm
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Citations: View citations in EconPapers (1)

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Working Paper: Target Fitting and Robustness Analysis in CGE Models (2012)
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