Identifying the sources of model misspecification
提出一种实证方法，通过预测误差方差分解和边际似然分析来检测和识别结构经济模型中的设定错误，并发现中等规模新凯恩斯DSGE模型在资产和劳动力市场存在设定错误。
In this paper we propose an empirical method for detecting and identifying misspecification \nin structural economic models. Our approach formalizes the common practice of\nadding "shocks" in the model, and identifies potential misspecification via forecast error\nvariance decomposition and marginal likelihood analyses. The simulation results based on\na small-scale DSGE model demonstrate that our method can correctly identify the source\nof misspecification. Our empirical results show that state-of-the-art medium-scale New\nKeynesian DSGE models remain misspecified, pointing to asset and labor markets as the\nsources of the misspecification.