| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17379 |
| DP17379 Validating DSGE Models through Dynamic Factor Models | |
| Mario Forni; Luca Gambetti; Marco Lippi; Luca Sala | |
| 发表日期 | 2022-06-11 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We urge the use of Structural Dynamic Factor Models (DFM) to validate and to guide the construction of Dynamic Stochastic General Equilibrium (DSGE) models. The main reason is that the log-linear solution of a DSGE model has a factor structure which ensures consistency between the representations of the two models. We assess, by means of a few simulations, the validity of SDFM as an empirical tool to complement DSGE analysis. Using a DSGE model as data generating process, the factor model provides very accurate estimates of the true impulse response functions. As an application, we validate a theory of TFP news and surprise shocks. |
| 主题 | Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp17379 |
| 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/546432 |
| 推荐引用方式 GB/T 7714 | Mario Forni,Luca Gambetti,Marco Lippi,et al. DP17379 Validating DSGE Models through Dynamic Factor Models. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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