G2TT
来源类型Discussion paper
规范类型论文
来源IDDP17379
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
URLhttps://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.
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