Macroeconometric model comparison and evaluation techniques: A practical appraisal
以美国大型宏观经济模型为例，考察了四种模型比较技术，包括假设检验、均方误差分析以及两种基于结构扰动与简化形式扰动正交条件的新检验，并通过实证检验价格、工资率和利率的同期反馈效应。
Abstract This paper examines four model comparison techniques in the setting of an actual large‐scale U.S. macroeconomic model. The techniques include formal hypothesis tests, mean squared error analysis, and two new tests based on the complementary conditions that the structural and reduced form disturbances should be orthogonal to the predetermined variables. The latter two tests can be conveniently implemented by regressing either structural residuals or reduced form forecasting errors on a vector of predetermined variables. The empirical example tests restrictions on the simultaneous feedback effects of prices, wage rates, and interest rates.