| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6959 |
| DP6959 Sovereign Wealth Funds: Their Investment Strategies and Performance | |
| Luc Laeven; Vidhi Chhaochharia | |
| 发表日期 | 2008-09-23 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper shows that the R² and the standard error have fatal flaws and are inadequate as accuracy tests for models with heterogeneous agents and aggregate risk. Using data from a Krusell-Smith economy, I show that approximations for the law of motion of aggregate capital for which the true standard deviation of aggregate capital is up to 14% (119%) higher than the implied value (and which are thus clearly inaccurate) can have an R² as high as 0.9999 (0.99). Key in generating a more powerful test is to not update the aggregate law of motion with the aggregated simulated individual data, but to use as the explanatory variable the value predicted by the aggregate law of motion itself. |
| 主题 | International Macroeconomics |
| 关键词 | Approximations Numerical solutions Simulations |
| URL | https://cepr.org/publications/dp6959 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535796 |
| 推荐引用方式 GB/T 7714 | Luc Laeven,Vidhi Chhaochharia. DP6959 Sovereign Wealth Funds: Their Investment Strategies and Performance. 2008. |
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