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Dynamic equilibrium economies: a framework for comparing models and data

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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, a framework 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, . "Dynamic equilibrium economies: a framework for comparing models and data," Staff Report, Federal Reserve Bank of Minneapolis.
    • Handle: RePEc:fip:fedmsr:243
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    References listed on IDEAS

    as
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