Comparing Evaluation Methodologies for Stochastic Dynamic General Equilibrium Models.

This paper "tests" the performance of the approaches of Watson (1993), DeJong, Ingram and Whiteman (1996), Canova and De Nicolo (1995) and Ortega (1998) for evaluating stochastic dynamic general equilibrium models using Monte Carlo techniques. It asks: Do different model evaluation methodologies effectively improve an informal approach as in the typical calibration exercise? Are they only valid under limited assumptions, for evaluating the fit over a particular set of statistics or a particular model?.