Evaluating DSGE Models: From Calibration to Cointegration
This chapter examines the historical development of estimating new Keynesian dynamic stochastic equilibrium (DSGE) models. I focus, in particular, on how cointegration can be used in order to test and estimate the relationships in these models using a simple RBC model as an example. Empirical evalua...
Guardado en:
| Autor principal: | |
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| Formato: | Capítulo de libro |
| Lenguaje: | inglés |
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IntechOpen
2023
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| Materias: | |
| Acceso en línea: | https://www.intechopen.com/chapters/87116 |
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| Sumario: | This chapter examines the historical development of estimating new Keynesian dynamic stochastic equilibrium (DSGE) models. I focus, in particular, on how cointegration can be used in order to test and estimate the relationships in these models using a simple RBC model as an example. Empirical evaluation of a model is critical to validate the theory, and this should be an essential step when analyzing DSGE models. The chapter illustrates the use of various estimation techniques when estimating DSGE models and compares these methods to using cointegration when estimating and evaluating DSGE models. |
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| ISBN: | 978-1-80356-524-8 |
| DOI: | 10.5772/intechopen.111677 |