A Method for Taking Models to the Data

Peter Ireland

No 1233, Computing in Economics and Finance 1999 from Society for Computational Economics

Abstract: This paper develops a method for combining the power of a dynamic, stochastic, general equilibrium model with the flexibility of a vector autoregressive time-series model to obtain a hybrid that can be taken directly to the data. It estimates this hybrid model via maximum likelihood and uses the results to address a number of issues concerning the ability of a prototypical real business cycle model to explain movements in aggregate output and employment in the postwar US economy, the stability of the real business cycle model's structural parameters, and the performance of the hybrid model's out-of-sample forecasts.

Date: 1999-03-01
New Economics Papers: this item is included in nep-dge and nep-ecm
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Citations: View citations in EconPapers (28)

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Working Paper: A method for taking models to the data (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf9:1233

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