Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79169
Authors: 
Landon-Lane, John S.
Year of Publication: 
2002
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, The State University of New Jersey 2002,11
Abstract: 
This paper develops a method that uses a likelihood approach to directly compare two or more non-nested dynamic, stochastic general equilibrium (DSGE) models. It is shown how DSGE models can be compared across the whole sample and how this measure can be decomposed across individual observations thus allowing models to be compared across any sub-sample of the data. The method is applied to the problem of determining whether the technology shock process in a standard Real Business Cycle model should consist of permanent or temporary, albeit persistent, shocks. Overall, a permanent shock model has a better prediction performance than the temporary shock model. However, the model with the temporary shock performs much better for the part of the sample that includes the most of the 1980's and the 1990's.
Subjects: 
Markov chain Monte Carlo
Model Evaluation
Real Business Cycles
JEL: 
C11
C52
E32
Document Type: 
Working Paper

Files in This Item:
File
Size
310.69 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.