A test for the distributional comparison of simulated and historical data

Valentina Corradi; Norman R. Swanson

doi:10.1016/j.econlet.2004.04.005

A test for the distributional comparison of simulated and historical data

Valentina Corradi, Norman R. Swanson

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

In this note, we apply the testing methodology of Corradi and Swanson [Journal of Econometrics, 2003a], which is based on a distributional generalization of write [Econometrica 68 (2000) 1097] reality check in order to examine the "distributional fit" of alternative real business cycle models. Parameter calibration and estimation error is found to matter much less than distributional assumptions, when some simple illustrative macroeconomic models are considered.

Original language	English (US)
Pages (from-to)	185-193
Number of pages	9
Journal	Economics Letters
Volume	85
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2004.04.005
State	Published - Nov 2004

Keywords

Joint distribution
Mode, selection
Simulation

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2004.04.005

Cite this

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AB - In this note, we apply the testing methodology of Corradi and Swanson [Journal of Econometrics, 2003a], which is based on a distributional generalization of write [Econometrica 68 (2000) 1097] reality check in order to examine the "distributional fit" of alternative real business cycle models. Parameter calibration and estimation error is found to matter much less than distributional assumptions, when some simple illustrative macroeconomic models are considered.

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A test for the distributional comparison of simulated and historical data

Abstract

Keywords

ASJC Scopus subject areas

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