Testing a DSGE model and its partner database

Lavan Mahadeva and Juan Parra-Alvarez

Borradores de Economia from Banco de la Republica de Colombia

Abstract: There is now an impetus to apply dynamic stochastic general equilibrium models to forecasting. But these models typically rely on purpose-built data, for example on tradable and nontradable sector outputs. How then do we know that the model will forecast well, in advance? We develop an early warning test of the database-model match and apply that to a Colombian model. Our test reveals where the combination should work (consumption) and where not (in investment). The test can be adapted to look at many likely sources of DSGE model failure.

Keywords: Monetary Policy; Sectoral Model; DSGE; Forecast Performance; Kalman Filter. (search for similar items in EconPapers)
JEL-codes: C61 E01 F47 (search for similar items in EconPapers)
Date: 2008-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.32468/be.479 (application/pdf)

Related works:
Working Paper: Testing a DSGE model and its partner database (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:479

Access Statistics for this paper

More papers in Borradores de Economia from Banco de la Republica de Colombia Cra 7 # 14-78. Contact information at EDIRC.
Bibliographic data for series maintained by Clorith Angélica Bahos Olivera ().