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dc.contributor.author | Inoue, Atsushi |
dc.contributor.author | Kuo, Chun-Hung |
dc.contributor.author | Rossi, Barbara, 1971- |
dc.date.accessioned | 2016-04-28T12:07:20Z |
dc.date.available | 2016-04-28T12:07:20Z |
dc.date.issued | 2014-09 |
dc.identifier.uri | http://hdl.handle.net/10230/26216 |
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 http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=10140 |
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 |