Evaluating DSGE Models: From Calibration to Cointegration

Bjørnar Karlsen Kivedal

A chapter in Econometrics - Recent Advances and Applications from IntechOpen

Abstract: This chapter examines the historical development of estimating new Keynesian dynamic stochastic equilibrium (DSGE) models. I focus, in particular, on how cointegration can be used in order to test and estimate the relationships in these models using a simple RBC model as an example. Empirical evaluation of a model is critical to validate the theory, and this should be an essential step when analyzing DSGE models. The chapter illustrates the use of various estimation techniques when estimating DSGE models and compares these methods to using cointegration when estimating and evaluating DSGE models.

Keywords: DSGE models; calibration; estimation; cointegration; RBC model (search for similar items in EconPapers)
JEL-codes: C01 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ito:pchaps:309224

DOI: 10.5772/intechopen.111677

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