Loss function‐based evaluation of DSGE models
Loss function‐based evaluation of DSGE models
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DOI：
10.1002/jae.582
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发表时间：
2000-11
影响因子：
2.1
通讯作者：
F. Schorfheide
中科院分区：
文献类型：
--
作者：
F. Schorfheide
在本文中，我们提出了一种贝叶斯计量经济学方法来评估和比较动态随机一般均衡模型。与许多以前的计量经济学方法不同，我们明确地考虑到了离散一般均衡模型被错误指定的可能性，并引入了一个参考模型来完善模型空间。本文提出了三个损失函数，用来评估离散一般均衡模型的预测与研究人员试图匹配的总体后验分布之间的差异。该评估程序被应用于标准预付现金(CIA)模型和投资组合调整成本(PAC)模型的比较。我们发现，CIA模型比PAC模型具有更高的后验概率，并且获得了更好的样本内时间序列拟合。这两个模型都高估了产出增长和通胀之间负相关的程度。然而，与PAC模型不同，CIA模型无法产生货币增长冲击对总产出的积极实际影响。总体而言，PAC模型的脉冲响应动力学比CIA模型的响应更接近后验平均脉冲响应函数。版权所有©2000 John Wiley&Sons，Ltd.
In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take into account the possibility that the DSGE models are misspecified and introduce a reference model to complete the model space. Three loss functions are proposed to assess the discrepancy between DSGE model predictions and an overall posterior distribution of population characteristics that the researcher is trying to match. The evaluation procedure is applied to the comparison of a standard cash-in-advance (CIA) and a portfolio adjustment cost (PAC) model. We find that the CIA model has higher posterior probability than the PAC model and achieves a better in-sample time series fit. Both models overpredict the magnitude of the negative correlation between output growth and inflation. However, unlike the PAC model, the CIA model is not able to generate a positive real effect of money growth shocks on aggregate output. Overall, the impulse response dynamics of the PAC model resemble the posterior mean impulse response functions more closely than the responses of the CIA model. Copyright © 2000 John Wiley & Sons, Ltd.