2026-04-18T01:29:15Zhttps://recercat.cat/oai/request

oai:recercat.cat:10230/233902025-12-23T02:15:30Zcom_2072_6col_2072_452953

Identifying the sources of model misspecification Inoue, Atsushi Kuo, Chun-Hung Rossi, Barbara, 1971- dsge models marginal likelihood misspecification. Macroeconomics and International Economics Statistics, Econometrics and Quantitative Methods In this paper we propose an empirical method for detecting and identifying misspecification in structural economic models. Our approach formalizes the common practice of adding "shocks" in the model, and identifies potential misspecification via forecast error variance decomposition and marginal likelihood analyses. The simulation results based on a small-scale DSGE model demonstrate that our method can correctly identify the source of misspecification. Our empirical results show that state-of-the-art medium-scale New Keynesian DSGE models remain misspecified, pointing to asset and labor markets as the sources of the misspecification. 2017-07-26T10:51:10Z 2017-07-26T10:51:10Z 2015-02-01 2017-07-23T02:16:57Z info:eu-repo/semantics/workingPaper Economics and Business Working Papers Series; 1479 L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons http://creativecommons.org/licenses/by-nc-nd/3.0/es/ info:eu-repo/semantics/openAccess