Dynamic stochastic general equilibrium (DSGE) models have been an ubiquitous, and controversial, part of macroeconomics for decades. In this paper, we approach DSGEs purely as statstical models. We do this by applying two common model validation checks to the canonical Smets and Wouters 2007 DSGE: (1) we simulate the model and see how well it can be estimated from its own simulation output, and (2) we see how well it can seem to fit nonsense data. We find that (1) even with centuries' worth of data, the model remains poorly estimated, and (2) when we swap series at random, so that (e.g.) what the model gets as the inflation rate is really hours worked, what it gets as hours worked is really investment, etc., the fit is often only slightly impaired, and in a large percentage of cases actually improves (even out of sample). Taken together, these findings cast serious doubt on the meaningfulness of parameter estimates for this DSGE, and on whether this specification represents anything structural about the economy. Constructively, our approaches can be used for model validation by anyone working with macroeconomic time series.
翻译:动态分析一般平衡( DSGE) 模型是宏观经济中一个普遍存在且有争议的部分。 在本文中,我们将DSGE 纯粹作为统计模型。 我们这样做的方法是对2007 DSGE 的卡通Smets 和 Wouters 进行两种共同的模型验证:(1) 我们模拟模型,看它能从自己的模拟输出中估计出来有多好,以及(2) 我们发现它看起来如何适合无稽之谈的数据。 我们发现(1) 即使有几百年的数据价值,模型仍然没有很好地估计,(2) 当我们随机交换一系列的模型时,(例如) 模型得到什么,因为通货膨胀率是实际工作时数,它得到什么是真正的投资等。 在大部分情况下,它通常只是略微受损,而且实际改善(即使没有样本 ) 。 综合起来,这些发现对DSGEGE的参数估计是否有意义,以及这一规格是否代表了经济的任何结构。 结构上,我们的方法可以用模型来进行模型验证,任何与宏观经济时间序列合作的人都可以使用。