Identification and data fitting

Hallo Leute

I have a question relating to estimating DSGE model with Bayesian method

I wrote dynare file. At the the same time, I have data file. Before running estimating, what should I do? I mean do I need to conduct two following tests?

  1. The test for identification problem
  2. The test how actual data fit model. Normally, I saw literature that authors often report the actual data and predicted value (generated by Kalman Filter) on the same Graph to evaluate how the actual data fits the model
  1. It is always a good idea to check identification as it is almost costless in terms of effort and may help detecting pathological issues
  2. Yes, it is a good idea to check the model fit. But I don’t understand what you write about the Kalman filter. The Kalman filter will just decompose the observed historical observations in the contribution of different shocks. In-sample, the “fit” will be perfect. What you may compare is moments from simulated data to moments of the actual data.

Hello Prof Pfeifer,
Do you know where can I find an exmple code to check how the model fit to the data?

How exactly do you want to make that comparison?