Statistical inference in calibrated models
Version of Record online: 7 NOV 2006
Copyright © 1994 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Supplement: Calibration Techniques and Econometrics
Volume 9, Issue Supplement S1, pages S123–S144, December 1994
How to Cite
Canova, F. (1994), Statistical inference in calibrated models. J. Appl. Econ., 9: S123–S144. doi: 10.1002/jae.3950090508
- Issue online: 7 NOV 2006
- Version of Record online: 7 NOV 2006
- Manuscript Revised: AUG 1994
- Manuscript Received: JUL 1992
This paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and the evaluation of the model and provides an efficient way to conduct a sensitivity analysis for perturbations of the parameters within a reasonable range. As an illustration the methodology is applied to two problems: the equity premium puzzle and how much of the variance of actual US output is explained by a real business cycle model.