| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10140 |
| DP10140 Identifying the Sources of Model Misspecification | |
| Barbara Rossi; Chun-Hung Kuo | |
| 发表日期 | 2014-09-14 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | In this paper we propose empirical methods for detecting and identifying misspecifications in DSGE models. We introduce wedges in a DSGE model and identify potential misspecification via forecast error variance decomposition (FEVD) and marginal likelihood analyses. Our simulation results based on a small-scale DSGE model demonstrate that our method can correctly identify the source of misspecification. Our empirical results show that the medium-scale New Keynesian DSGE model that incorporates features in the recent empirical macro literature is still very much misspecified; our analysis highlights that the asset and labor markets may be the source of the misspecification. |
| 主题 | International Macroeconomics |
| 关键词 | Dsge models Empirical macroeconomics Model misspecification |
| URL | https://cepr.org/publications/dp10140 |
| 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/538973 |
| 推荐引用方式 GB/T 7714 | Barbara Rossi,Chun-Hung Kuo. DP10140 Identifying the Sources of Model Misspecification. 2014. |
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