Detailed Information on Publication Record
2010
Comparing the fit of New Keynesian DSGE models
ČAPEK, JanBasic information
Original name
Comparing the fit of New Keynesian DSGE models
Authors
ČAPEK, Jan (203 Czech Republic, guarantor, belonging to the institution)
Edition
Ekonomická revue, Ostrava, VŠB - Technická univerzita Ostrava, 2010, 1212-3951
Other information
Language
English
Type of outcome
Článek v odborném periodiku
Field of Study
50200 5.2 Economics and Business
Country of publisher
Czech Republic
Confidentiality degree
není předmětem státního či obchodního tajemství
References:
RIV identification code
RIV/00216224:14560/10:00044815
Organization unit
Faculty of Economics and Administration
Keywords in English
Forecast quality; global Sensitivity Analysis; model fit; Bayesian posterior odds ratio; parameter importance
Tags
Reviewed
Změněno: 29/4/2017 09:28, doc. Ing. Jan Čapek, Ph.D.
Abstract
V originále
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.
Links
| 1M0524, research and development project |
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