Testing a DSGE model and its partner database

There is now an impetus to apply dynamic stochastic general equilibrium models to forecasting. But thesemodels typically rely on purpose-built data, for example on tradable and nontradable sector outputs.How then do we know that the model will forecast well, in advance? We develop an early warning test ofthe database-model match and apply that to a Colombian model. Our test reveals where the combinationshould work (consumption) and where not (in investment). The test can be adapted to look at manylikely sources of DSGE model failure.