model evaluation

On the Fit and Forecasting Performance of New Keynesian Models

JEL codes: 
C11, C32, C53
Version Date: 
Dec 2004

The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR), and then systematically relax the implied cross-equation restrictions.

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