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Title: Evaluating dynamic general equilibrium models
Author: Theodoridis, Konstantinos
ISNI:       0000 0004 2748 6055
Awarding Body: Cardiff University
Current Institution: Cardiff University
Date of Award: 2006
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In this thesis we introduce a new bootstrap method for testing structural DSGE models according to their dynamic performance. The method maintains a separation between the structural (non-linear) model as the null hypothesis and its dynamic time series representation. The model's errors are discovered and used for bootstrapping (after whitening) the resulting pseudo-samples are used to discover the sampling distribution of the dynamic time series model. The test then consists of discovering whether the parameters of the time-series model estimated on the actual data lie within some confidence interval of this distribution. A test statistic for the parameters taken as a whole is developed (the M-metric, a Wald statistic).
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available