Some problems in the testing of DSGE models

Vo Phuong Mai Le, A. Patrick Minford and Michael Wickens

No E2009/31, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments and other features with data equivalents. We note that they select, scale and characterise the shocks without reference to the data,crucially they fail to use the joint distribution of the features under comparison. We illustrate this point by recomputing an assessment of a two-country model in a recent paper,we find that the paper's conclusions are essentially reversed.

Keywords: Boostrap; US-EU model; DSGE; VAR; indirect inference; Wald statistic; anomaly; puzzle (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 E1 (search for similar items in EconPapers)
Pages: 6 pages
Date: 2009-12
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-ets
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Related works:
Working Paper: Some Problems in the Testing of DSGE Models (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cdf:wpaper:2009/31

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