| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7190 |
| DP7190 Commodity Price Volatility and World Market Integration since 1700 | |
| Jeffrey G. Williamson; Kevin O'Rourke; David Jacks | |
| 发表日期 | 2009-03-01 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Dynamic Stochastic General Equilibrium (DSGE) models are now considered attractive by the profession not only from the theoretical perspective but also from an empirical standpoint. As a consequence of this development, methods for diagnosing the fit of these models are being proposed and implemented. In this article we illustrate how the concept of statistical identification, that was introduced and used by Spanos(1990) to criticize traditional evaluation methods of Cowles Commission models, could be relevant for DSGE models. We conclude that the recently proposed model evaluation method, based on the DSGE-VAR(ë), might not satisfy the condition for statistical identification. However, our application also shows that the adoption of a FAVAR as a statistically identified benchmark leaves unaltered the support of the data for the DSGE model and that a DSGE-FAVAR can be an optimal forecasting model. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian analysis Dynamic stochastic general equilibrium model Factor-augmented vector autoregression Model evaluation |
| URL | https://cepr.org/publications/dp7190 |
| 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/536027 |
| 推荐引用方式 GB/T 7714 | Jeffrey G. Williamson,Kevin O'Rourke,David Jacks. DP7190 Commodity Price Volatility and World Market Integration since 1700. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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