というプレプリントarXivに上がっている(H/T beさんツイート;著者の一人のShaliziが「君の好きなDSGEはダメダメ(Your Favorite DSGE Sucks)」と題した自ブログエントリ*1で内容を解説し、ツイートに流している)。原題は「Empirical Macroeconomics and DSGE Modeling in Statistical Perspective」で、著者はDaniel J. McDonald(ブリティッシュコロンビア大学バンクーバー校)、Cosma Rohilla Shalizi(カーネギーメロン大学)。

As we said in the introduction, there are very few who will defend the forecasting record of DSGEs. Rather, their virtues are supposed to lie in their capturing the structure of the economy, and so providing theoretical insight, with meaningful parameters, and an ability to evaluate policy and counterfactuals. We have examined these claims on behalf of DSGEs through checking how well a DSGE can be estimated from its own simulation output and by series permutation. In both cases, the results are rather negative.
If we take our estimated model and simulate several centuries of data from it, all in the stationary regime, and then re-estimate the model from the simulation, the results are disturbing. Forecasting error remains dismal and shrinks very slowly with the size of the data. Much the same is true of parameter estimates, with the important exception that many of the parameter estimates seem to be stuck around values which differ from the ones used to generate the data. These ill-behaved parameters include not just shock variances and autocorrelations, but also the “deep” ones whose presence is supposed to distinguish a micro-founded DSGE from mere time-series analysis or reduced-form regressions. All this happens in simulations where the model specification is correct, where the parameters are constant, and where the estimation can make use of centuries of stationary data, far more than will ever be available for the actual macroeconomy.
If we randomly re-label the macroeconomic time series and feed them into the DSGE, the results are no more comforting. Much of the time we get a model which predicts the (permuted) data better than the model predicts the unpermuted data. Even if one disdains forecasting as end in itself, it is hard to see how this is at all compatible with a model capturing something — anything — essential about the structure of the economy. Perhaps even more disturbing, many of the parameters of the model are essentially unchanged under permutation, including “deep” parameters supposedly representing tastes, technologies and institutions.