Inoue, AtsushiKuo, Chun-HungRossi, Barbara, 1971-Universitat Pompeu Fabra. Departament d'Economia i Empresa2017-07-262017-07-262015-02-01http://hdl.handle.net/10230/23390In this paper we propose an empirical method for detecting and identifying misspecification in structural economic models. Our approach formalizes the common practice of adding "shocks" in the model, and identifies potential misspecification via forecast error variance decomposition and marginal likelihood analyses. The 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 state-of-the-art medium-scale New Keynesian DSGE models remain misspecified, pointing to asset and labor markets as the sources of the misspecification.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative CommonsIdentifying the sources of model misspecification<resourceType xmlns="http://datacite.org/schema/kernel-3" resourceTypeGeneral="Other">info:eu-repo/semantics/workingPaper</resourceType><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">dsge models</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">marginal likelihood</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">misspecification.</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">Macroeconomics and International Economics</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">Statistics, Econometrics and Quantitative Methods</subject><rights xmlns="http://datacite.org/schema/kernel-3">info:eu-repo/semantics/openAccess</rights>