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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w17906 |
来源ID | Working Paper 17906 |
Posterior Predictive Analysis for Evaluating DSGE Models | |
Jon Faust; Abhishek Gupta | |
发表日期 | 2012-03-08 |
出版年 | 2012 |
语种 | 英语 |
摘要 | While dynamic stochastic general equilibrium (DSGE) models for monetary policy analysis have come a long way, there is considerable difference of opinion over the role these models should play in the policy process. The paper develops three main points about assessing the value of these models. First, we document that DSGE models continue to have aspects of crude approximation and omission. This motivates the need for tools to reveal the strengths and weaknesses of the models--both to direct development efforts and to inform how best to use the current flawed models. Second, posterior predictive analysis provides a useful and economical tool for finding and communicating strengths and weaknesses. In particular, we adapt a form of discrepancy analysis as proposed by Gelman, et al. (1996). Third, we provide a nonstandard defense of posterior predictive analysis in the DSGE context against long-standing objections. We use the iconic Smets-Wouters model for illustrative purposes, showing a number of heretofore unrecognized properties that may be important from a policymaking perspective. |
主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Macroeconomic Models ; Business Cycles |
URL | https://www.nber.org/papers/w17906 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575582 |
推荐引用方式 GB/T 7714 | Jon Faust,Abhishek Gupta. Posterior Predictive Analysis for Evaluating DSGE Models. 2012. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w17906.pdf(737KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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