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@article{898770,
author = {Čapek, Jan},
article_location = {Ostrava},
article_number = {4},
keywords = {Forecast quality; global Sensitivity Analysis; model fit; Bayesian posterior odds ratio; parameter importance},
language = {eng},
issn = {1212-3951},
journal = {Ekonomická revue},
title = {Comparing the fit of New Keynesian DSGE models},
url = {https://www.ekf.vsb.cz/export/sites/ekf/cerei/cs/Papers/VOL13NUM04PAP03.pdf},
volume = {13},
year = {2010}
}
TY - JOUR
ID - 898770
AU - Čapek, Jan
PY - 2010
TI - Comparing the fit of New Keynesian DSGE models
JF - Ekonomická revue
VL - 13
IS - 4
SP - 207-218
EP - 207-218
PB - VŠB - Technická univerzita Ostrava
SN - 12123951
KW - Forecast quality
KW - global Sensitivity Analysis
KW - model fit
KW - Bayesian posterior odds ratio
KW - parameter importance
UR - https://www.ekf.vsb.cz/export/sites/ekf/cerei/cs/Papers/VOL13NUM04PAP03.pdf
N2 - The paper is focused on an analysis of model fit of DSGE models following NOEM. Unlike most of the literature on the topic,this paper does not use posterior odds to analyze model fit to data;it uses alternative tools instead. In order to compare the results of the alternative tools to the standard posterior odds ratio, this paper uses the findings of Slanicay and Vašíček (2009)[SV2009],who compared model fit to data of several models with posterior odds. The goal of the paper is to verify the results of SV2009 with different criteria than posterior odds. The tools for the analysis are criteria based on RMSE and tools from the Global Sensitivity Analysis toolbox. Conclusions of this paper are the following: Habit persistence in consumption is found to be important and price indexation unimportant as in SV2009. Furthermore,model variants with exogenous foreign economy always perform better than the ones with structurally modeled foreign economy. This finding is in contradiction to the results of SV2009.
ER -
ČAPEK, Jan. Comparing the fit of New Keynesian DSGE models. \textit{Ekonomická revue}. Ostrava: VŠB - Technická univerzita Ostrava, 2010, roč.~13, č.~4, s.~207-218. ISSN~1212-3951.
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