Abstract
I propose a method of endogenous calibration of nonlinear stochastic equilibrium models,
by taking advantage of spectral properties of economic data. Model parameters are
determined by minimizing a distance metric specified in frequency domain. Several weight
functions are discussed and their usefulness is assessed. Both univariate and multivariate
settings are considered. Models' statistical testing strategies are discussed.
Original language | American English |
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Title of host publication | WCGJ International Conference Commemorating the 55th Anniversary of the State of Israel |
State | Published - 2003 |