Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Francis Diebold, Lee Ohanian and Jeremy Berkowitz

The Review of Economic Studies, 1998, vol. 65, issue 3, 433-451

Abstract: We propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, which enables a complete second-order comparison of the dynamic properties of models and data. We use bootstrap algorithms to evaluate the significance of deviations between models and data, and we use goodness-of-fit criteria to produce estimators that optimize economically-relevant loss functions. We provide a detailed illustrative application to modelling the U.S. cattle cycle.

Date: 1998
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Related works:
Working Paper: Dynamic equilibrium economies: a framework for comparing models and data (1998)
Working Paper: Dynamic equilibrium economies: a framework for comparing models and data (1997)
Working Paper: Dynamic equilibrium economies: a framework for comparing models and data (1997)
Working Paper: Dynamic Equilibrium Economies: A Framework for Comparing Models and Data (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:65:y:1998:i:3:p:433-451.

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