Evaluating dynamic general equilibrium models.

Theodoridis, Konstantinos. 2006. Evaluating dynamic general equilibrium models. PhD Thesis, Cardiff University.

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Abstract

In this thesis we introduce a new bootstrap method for testing structural DSGE models according to their dynamic performance. The method maintains a separation between the structural (non-linear) model as the null hypothesis and its dynamic time series representation. The model's errors are discovered and used for bootstrapping (after whitening) the resulting pseudo-samples are used to discover the sampling distribution of the dynamic time series model. The test then consists of discovering whether the parameters of the time-series model estimated on the actual data lie within some confidence interval of this distribution. A test statistic for the parameters taken as a whole is developed (the M-metric, a Wald statistic).

Item Type:	Thesis (PhD)
Status:	Unpublished
Schools:	Business (Including Economics)
ISBN:	9781303174681
Date of First Compliant Deposit:	30 March 2016
Last Modified:	12 Feb 2016 23:12
URI:	https://orca.cardiff.ac.uk/id/eprint/54296

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