On the fit and forecasting performance of new keynesian models
By: Marco Del Negro ... [et al.].
Contributors: Del Negro, Marco.; Federal Reserve Bank of Atlanta.
Series: Working paper series / Federal Reserve Bank of Atlanta ;; 2004-37; Working paper series (Federal Reserve Bank of Atlanta : Online) ;; 2004-37.
Publisher: Federal Reserve Bank of Atlanta
Published: 2004
Place of publication: [Atlanta, Ga.]
Language: eng
Format: Electronic resource
Description: "The paper provides new tools for the evaluation of DSGE models and applies them 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.  Let denote the extent to which the restrictions are being relaxed.  We document how the in- and out-of-sample fit of the resulting specification (DSGE-VAR) changes as a function of.  Furthermore, we learn about the precise nature of the misspecification by comparing the DSGE model's impulse responses to structural shocks with those of the best-fitting DSGE-VAR.  We find that the degree of misspecification in large-scale DSGE models is no longer so large as to prevent their use in day-to-day policy analysis, yet it is not small enough that it cannot be ignored"--Federal Reserve Bank of Atlanta web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 2/25/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.