TY  - JOUR
AU  - Watson,Mark W.
TI  - Measures of Fit for Calibrated Models
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 102
PY  - 1991
Y2  - May 1991
UR  - http://www.nber.org/papers/t0102
L1  - http://www.nber.org/papers/t0102.pdf
N1  - Author contact info:
Mark W. Watson
Department of Economics
Princeton University
Princeton, NJ 08544-1013
Tel: 609/258-4811
Fax: 609/258-5533
E-Mail: mwatson@princeton.edu
AB  - This paper develops a new procedure for assessing how well a given dynamic economic model describes a set of economic time series. To answer the question, the variables in the model are augmented with just enough error so that the model can exactly mimic the second moment properties of the actual data. The properties of this error provide a useful diagnostic for the economic model, since they show the dimensions in which model fits the data relatively well and the dimensions in which it fits the data relatively poorly.
ER  -