A Method for Taking Models to the Data

Peter Ireland ()

No 421, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: This paper develops a method for combining the power of a dynamic, stochastic, general equilibrium model with the flexibility of a vector autoregressive time-series model to obtain a hybrid that can be taken directly to the data. It estimates this hybrid model via maximum likelihood and uses the results to address a number of issues concerning the ability of a prototypical real business cycle model to explain movements in aggregate output and employment in the postwar US economy, the stability of the real business cycle model's structural parameters, and the performance of the hybrid model's out-of-sample forecasts.

Keywords: Real Business Cycles; Technology Shocks; Hybrid Models (search for similar items in EconPapers)
JEL-codes: C51 C52 E32 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge
Date: 1999-04-27
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Related works:
Working Paper: A method for taking models to the data (1999)
Working Paper: A Method for Taking Models to the Data (1999)
Journal Article: A method for taking models to the data (2004)
Software Item: Matlab code for A Method for Taking Models to the Data
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocoec:421

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