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On the fit and forecasting performance of new keynesian models
| Content Provider | Library of Congress - Books/Printed Material |
|---|---|
| Author | Del Negro, Marco |
| Temporal Coverage | 2004 |
| Abstract | "The paper provides new tools for the evaluation of DSGE models and applies them 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 as to prevent their use in day-to-day policy analysis, yet it is not small enough that it cannot be ignored"--Federal Reserve Bank of Atlanta web site. |
| Language | English |
| Publisher | Federal Reserve Bank of Atlanta, |
| Publisher Place | Atlanta, Ga. |
| Part of Series | Catalog |
| Requires | HTML5 supported browser |
| Access Restriction | Open |
| Subject Keyword | Bayesian Analysis Dsge Models Model Evaluation Vector Autoregressions |
| Subject Domain (in LCSH) | Bayesian analysis; |
| Subject Domain (in LCSH) | dsge models; |
| Subject Domain (in LCSH) | model evaluation; |
| Subject Domain (in LCSH) | vector autoregressions |
| Subject Domain (in LCC) | HB1 |
| Content Type | Text |
| Resource Type | Book |
