The purpose of this thesis is to discuss the introduction and the implementation of the idea of model validation, especially in the use of Dynamic Stochastic General Equilibrium (DSGE) models. In this discussion, the mixture models are presented as the recent econometrics tool used in model validation. Two examples of DSGE models are illustrated in order to introduce two problems: omitted variables within the statistical identification problem and the finite-order representation by a Vector Autoregressive (VAR) of a DSGE model. The paper concludes the review considering some pointers for the future research and for the further developments of the use of mixture models for model validation.
(2009). Model validation in the DSGE approach. (Tesi di dottorato, Università degli Studi di Milano-Bicocca, 2009).
Model validation in the DSGE approach
PACCAGNINI, ALESSIA
2009
Abstract
The purpose of this thesis is to discuss the introduction and the implementation of the idea of model validation, especially in the use of Dynamic Stochastic General Equilibrium (DSGE) models. In this discussion, the mixture models are presented as the recent econometrics tool used in model validation. Two examples of DSGE models are illustrated in order to introduce two problems: omitted variables within the statistical identification problem and the finite-order representation by a Vector Autoregressive (VAR) of a DSGE model. The paper concludes the review considering some pointers for the future research and for the further developments of the use of mixture models for model validation.
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