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https://hdl.handle.net/10419/65790
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Vo Phuong Mai Le | en |
dc.contributor.author | Meenagh, David | en |
dc.contributor.author | Minford, Patrick | en |
dc.contributor.author | Wickens, Michael | en |
dc.date.accessioned | 2012-07-18 | - |
dc.date.accessioned | 2012-11-02T14:28:41Z | - |
dc.date.available | 2012-11-02T14:28:41Z | - |
dc.date.issued | 2012 | - |
dc.identifier.uri | http://hdl.handle.net/10419/65790 | - |
dc.description.abstract | Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions of the Smets-Wouters New Keynesian model of the US postwar period. We compare these with tests based on direct inference (using the Likelihood Ratio), and on the Del Negro-Schorfheide DSGE-VAR weight. We find that the power of all three tests is substantial so that a false model will tend to be rejected by all three; but that the power of the indirect inference tests are by far the greatest, necessitating re-estimation by indirect inference to ensure that the model is tested in its fullest sense. | en |
dc.language.iso | eng | en |
dc.publisher | |aCardiff University, Cardiff Business School |cCardiff | en |
dc.relation.ispartofseries | |aCardiff Economics Working Papers |xE2012/15 | en |
dc.subject.jel | C12 | en |
dc.subject.jel | C32 | en |
dc.subject.jel | C52 | en |
dc.subject.jel | E1 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | bootstrap | en |
dc.subject.keyword | DSGE | en |
dc.subject.keyword | New Keynesian | en |
dc.subject.keyword | New Classical | en |
dc.subject.keyword | indirect inference | en |
dc.subject.keyword | Wald statistic | en |
dc.subject.keyword | likelihood ratio | en |
dc.subject.keyword | DSGE-VAR weight | en |
dc.title | Testing DSGE models by indirect inference and other methods: Some Monte Carlo experiments | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 719686873 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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