Measures of Fit for Calibrated Models / Mark W. Watson.

Format:

Book

Author/Creator:

Watson, Mark W.

Contributor:

National Bureau of Economic Research.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0102.

NBER technical working paper series no. t0102

Language:

English

Subjects (All):

Corporate reorganizations.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1991.

Cambridge, Mass. : National Bureau of Economic Research, 1991.

Summary:

This paper develops a new procedure for assessing how well a given dynamic economic model describes a set of economic time series. To answer the question, the variables in the model are augmented with just enough error so that the model can exactly mimic the second moment properties of the actual data. The properties of this error provide a useful diagnostic for the economic model, since they show the dimensions in which model fits the data relatively well and the dimensions in which it fits the data relatively poorly.

Notes:

Print version record

May 1991.

Includes bibliographical references.