Loss function‐based evaluation of DSGE models
提出一种贝叶斯计量方法，通过三种损失函数评估DSGE模型与总体特征的匹配程度，并比较了现金先行模型与投资组合调整成本模型，发现后者在脉冲响应上更接近后验均值。
Abstract In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take into account the possibility that the DSGE models are misspecified and introduce a reference model to complete the model space. Three loss functions are proposed to assess the discrepancy between DSGE model predictions and an overall posterior distribution of population characteristics that the researcher is trying to match. The evaluation procedure is applied to the comparison of a standard cash‐in‐advance (CIA) and a portfolio adjustment cost (PAC) model. We find that the CIA model has higher posterior probability than the PAC model and achieves a better in‐sample time series fit. Both models overpredict the magnitude of the negative correlation between output growth and inflation. However, unlike the PAC model, the CIA model is not able to generate a positive real effect of money growth shocks on aggregate output. Overall, the impulse response dynamics of the PAC model resemble the posterior mean impulse response functions more closely than the responses of the CIA model. Copyright © 2000 John Wiley & Sons, Ltd.