Posterior Predictive Analysis for Evaluating DSGE Models

Jon Faust and Abhishek Gupta ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we develop and apply certain tools to evaluate the strengths and weaknesses of dynamic stochastic general equilibrium (DSGE) models. In particular, this paper makes three contributions: One, it argues the need for such tools to evaluate the usefulness of the these models; two, it defines these tools which take the form of prior and particularly posterior predictive analysis and provides illustrations; and three, it provides a justification for the use of these tools in the DSGE context in defense against the standard criticisms for the use of these tools.

Keywords: Prior and posterior predictive analysis; DSGE Model Evaluation; Monetary Policy. (search for similar items in EconPapers)
JEL-codes: C11 C52 E1 (search for similar items in EconPapers)
Date: 2010-10-30
New Economics Papers: this item is included in nep-cba, nep-dge and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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https://mpra.ub.uni-muenchen.de/26721/1/MPRA_paper_26721.pdf original version (application/pdf)

Related works:
Working Paper: Posterior Predictive Analysis for Evaluating DSGE Models (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:26721

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