全球智库信息集成服务系统(G2TT): DP9056 Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments

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来源类型	Discussion paper
规范类型	论文
来源ID	DP9056
	DP9056 Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments
	Patrick Minford; Michael R. Wickens; David Meenagh; Vo Phuong Mai Le
发表日期	2012-07-15
出版年	2012
语种	英语
摘要	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.
主题	International Macroeconomics
关键词	Bootstrap Dsge Dsge-var weight indirect inference Likelihood ratio New classical New keynesian Wald statistic
URL	https://cepr.org/publications/dp9056
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/537890
推荐引用方式 GB/T 7714	Patrick Minford,Michael R. Wickens,David Meenagh,et al. DP9056 Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments. 2012.