Dynamic equilibrium economies: a framework for comparing models and data

Jeremy Berkowitz, Francis Diebold and Lee Ohanian

No 97-7, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: The authors propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, which enables a complete second-order comparison of the dynamic properties of models and data. They use bootstrap algorithms to evaluate the significance of deviations between models and data, and they use goodness-of-fit criteria to produce estimators that optimize economically relevant loss functions. The authors provide a detailed illustrative application to modeling the U.S. cattle cycle.

Keywords: time; series; analysis (search for similar items in EconPapers)
Date: 1997
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Related works:
Journal Article: Dynamic Equilibrium Economies: A Framework for Comparing Models and Data (1998)
Working Paper: Dynamic equilibrium economies: a framework for comparing models and data (1998)
Working Paper: Dynamic equilibrium economies: a framework for comparing models and data (1997)
Working Paper: Dynamic Equilibrium Economies: A Framework for Comparing Models and Data (1995)
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