Comparing Evaluation Methodologies for Stochastic Dynamic General Equilibrium Models

Eva Ortega

Working Papers from Banco de España

Abstract: This paper "tests" the performance of the approaches of Watson (1993), DeJong, Ingram and Whiteman (1996), Canova and De Nicolo (1995) and Ortega (1998) for evaluating stochastic dynamic general equilibrium models using Monte Carlo techniques. It asks: Do different model evaluation methodologies effectively improve an informal approach as in the typical calibration exercise? Are they only valid under limited assumptions, for evaluating the fit over a particular set of statistics or a particular model?

Keywords: ECONOMETRICS; STOCHASTIC MODELS; GENERAL EQUILIBRIUM (search for similar items in EconPapers)
JEL-codes: C15 C40 C52 C61 D50 (search for similar items in EconPapers)
Pages: 50 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9820

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