Assessing the Fit of Simulated Multivariate Dynamic Models

Eva Ortega

Working Papers from Banco de España

Abstract: This paper develops a formal framework based on multivariate spectral techniques for assessing the performance of multivariate dynamic models whose solution is approximated through simulation. The approach is especially suitable for models that focus on a particular frequency range , such as business cycle models.

Keywords: ECONOMETRICS; DYNAMIC ANALYSIS; MATHEMATICAL ANALYSIS (search for similar items in EconPapers)
JEL-codes: C53 C60 C61 (search for similar items in EconPapers)
Pages: 49 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9821

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