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Assessing the Fit of Simulated Multivariate Dynamic Models

Author

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  • Eva Ortega

Abstract

This paper develops a formal framework based on multivariate spectral techniques for assessing the performance of multivariate dynamic models whose solution is approximated through simulation. The approach is especially suitable for models that focus on a particular frequency range , such as business cycle models.

Suggested Citation

  • Eva Ortega, 1998. "Assessing the Fit of Simulated Multivariate Dynamic Models," Working Papers 9821, Banco de España.
    • Handle: RePEc:bde:wpaper:9821
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    More about this item

    Keywords

    ECONOMETRICS ; DYNAMIC ANALYSIS ; MATHEMATICAL ANALYSIS;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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