Show simple item record Inoue, Atsushi Kuo, Chun-Hung Rossi, Barbara, 1971- 2016-04-28T12:07:20Z 2016-04-28T12:07:20Z 2014-09
dc.description.abstract In this paper we propose empirical methods for detecting and identifying misspecifications in DSGE models. We introduce wedges in a DSGE model and identify potential misspecification via forecast error variance decomposition (FEVD) and marginal likelihood analyses. Our simulation results based on a small-scale DSGE model demonstrate that our method can correctly identify the source of misspecification. Our empirical results show that the medium-scale New Keynesian DSGE model that incorporates features in the recent empirical macro literature is still very much misspecified; our analysis highlights that the asset and labor markets may be the source of the misspecification.
dc.description.sponsorship The first and third authors acknowledge financial support from the National Science Foundation through grants 102159 and 1022125, respectively.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Centre for Economic Policy Research
dc.relation.ispartofseries CEPR Discussion Paper Series; 10140
dc.rights Original publication is available at CEPR at
dc.title Identifying the sources of model misspecification
dc.type info:eu-repo/semantics/workingPaper
dc.subject.keyword DSGE models
dc.subject.keyword Empirical macroeconomics and model misspecification
dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/615608
dc.rights.accessRights info:eu-repo/semantics/openAccess


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