Statistical inference in calibrated models
作者:
Fabio Canova,
期刊:
Journal of Applied Econometrics
(WILEY Available online 1994)
卷期:
Volume 9,
issue S1
页码: 123-144
ISSN:0883-7252
年代: 1994
DOI:10.1002/jae.3950090508
出版商: Wiley Subscription Services, Inc., A Wiley Company
数据来源: WILEY
摘要:
AbstractThis paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and the evaluation of the model and provides an efficient way to conduct a sensitivity analysis for perturbations of the parameters within a reasonable range. As an illustration the methodology is applied to two problems: the equity premium puzzle and how much of the variance of actual US output is explained by a real business cycle model.
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