A popular validation procedure for Dynamic Stochastic General Equilibrium (DSGE) models consists in comparing the structural shocks and impulse-response functions obtained by estimation-calibration of the DSGE with those obtained in an Structural Vector Autoregressions (SVAR) identified by means of some of the DSGE restrictions. I show that this practice can be seriously misleading when the variables used in the SVAR contain measurement errors. If this is the case, for generic values of the parameters of the DSGE, the shocks estimated in the SVAR are not “made of” the corresponding structural shocks plus measurement error. Rather, each of the SVAR shocks is contaminated by noncorresponding structural shocks. We argue that High-Dimensional Dynamic Factor Models are free from this drawback and are the natural model to use in validation procedures for DSGEs.

动态随机一般均衡 (DSGE) 模型的流行验证程序包括将通过 DSGE 估计校​​准获得的结构冲击和脉冲响应函数与通过某些方法识别的结构向量自回归 (SVAR) 中获得的结构冲击和脉冲响应函数进行比较。 DSGE 限制。我表明，当 SVAR 中使用的变量包含测量误差时，这种做法可能会产生严重误导。如果是这种情况，对于 DSGE 参数的通用值，SVAR 中估计的冲击不是由相应的结构冲击加上测量误差“组成”的。相反，每个 SVAR 冲击都受到不对应的结构冲击的污染。我们认为高维动态因子模型没有这个缺点，并且是 DSGE 验证过程中使用的自然模型。