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Dynamic equilibrium economies: a framework for comparing models and data

Author

Listed:
  • Jeremy Berkowitz
  • Francis X. Diebold
  • Lee E. Ohanian
Abstract
We propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, which enables a complete second-order comparison of the dynamic properties of models and data. We use bootstrap algorithms to evaluate the significance of deviations between models and data, and we use goodness-of-fit criteria to produce estimators that optimize economically relevant loss functions. We provide a detailed illustrative application to modeling the U.S. cattle cycle.

Suggested Citation

  • Jeremy Berkowitz & Francis X. Diebold & Lee E. Ohanian, 1997. "Dynamic equilibrium economies: a framework for comparing models and data," Finance and Economics Discussion Series 1997-23, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:1997-23
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    References listed on IDEAS

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    More about this item

    Keywords

    Econometric models;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models

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