A Specification Test for Linear Dynamic Stochastic General Equilibrium Models

Kenichi Tamegawa

Journal of Statistical and Econometric Methods, 2012, vol. 1, issue 2, 6

Abstract: In this paper, we introduce the procedure of a specification test for linear dynamic stochastic general equilibrium (DSGE) models. Given a parameterized DSGE model, we can empirically find omitted variables and check whether the model’s structure is correct.

Date: 2012
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