Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/152925 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
ECB Working Paper No. 491
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
The paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR), and then systematically relax the implied cross-equation restrictions. Let ? denote the extent to which the restrictions are being relaxed. We document how the in- and out-of sample fit of the resulting specification (DSGE-VAR) changes as a function of ?. Furthermore, we learn about the precise nature of the misspecification by comparing the DSGE model’s impulse responses to structural shocks with those of the best-fitting DSGE-VAR. We find that the degree of misspecification in large-scale DSGE models is no longer so large to prevent their use in day-to-day policy analysis, yet it is not small enough that it cannot be ignored.
Schlagwörter: 
Bayesian Analysis
DSGE Models
model evaluation
vector autoregressions
JEL: 
C11
C32
C53
Dokumentart: 
Working Paper

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