Statistical Inference in Calibrated Models.
This 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 U.S. output is explained by a real business cycle model. Copyright 1994 by John Wiley & Sons, Ltd.
Year of publication: |
1994
|
---|---|
Authors: | Canova, Fabio |
Published in: |
Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 9.1994, S, p. 123-44
|
Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
What drives the recent surge in inflation? The historical decomposition roller coaster
Bergholt, Drago, (2024)
-
Symbolic stationarization of dynamic equilibrium models
Canova, Fabio, (2021)
-
International seminar on macroeconomics. Stock returns and the business cycle: a structural approach
Canova, Fabio, (1995)
- More ...