DSGE Model Validation in a Bayesian Framework: an Assessment

Alessia Paccagnini

MPRA Paper from University Library of Munich, Germany

Abstract: This paper presents the concept of Model Validation applied to a Dynamic Stochastic General equilibrium Model (DSGE). The main problem discussed is the approximation of the statistical representation for a DSGE model when not all endogenous variables are observable. MonteCarlo experiments in artificial world are implemented to assess this problem by using the DSGE-VAR. Two Data Generating Processes are compared: a forward-looking and a backward-looking model. These experiments are followed by an empirical analysis with real world data for the US economy.

Keywords: Bayesian Analysis; DSGE Models; Vector Autoregressions; MonteCarlo experiments (search for similar items in EconPapers)
JEL-codes: C01 C11 C15 C32 (search for similar items in EconPapers)
Date: 2010-05-01
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://mpra.ub.uni-muenchen.de/24639/2/MPRA_paper_24639.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:24509

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