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 |
|---|---|
| Title of host publication | WCGJ International Conference Commemorating the 55th Anniversary of the State of Israel |
| State | Published - 2003 |