| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10382 |
| DP10382 Small sample performance of indirect inference on DSGE models | |
| Patrick Minford; Michael R. Wickens; David Meenagh; Vo Phuong Mai Le | |
| 发表日期 | 2015-02-01 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE models in small samples, using various models in widespread use. We compare these with tests based on direct inference (using the Likelihood Ratio). We find that both tests have power so that a substantially false model will tend to be rejected by both; but that the power of the indirect inference test is by far the greater, necessitating re-estimation to ensure that the model is tested in its fullest sense. We also find that the small-sample bias with indirect estimation is around half of that with maximum likelihood estimation. |
| 主题 | International Macroeconomics |
| 关键词 | Bootstrap Dsge indirect inference Likelihood ratio New classical New keynesian Wald statistic |
| URL | https://cepr.org/publications/dp10382 |
| 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/539213 |
| 推荐引用方式 GB/T 7714 | Patrick Minford,Michael R. Wickens,David Meenagh,et al. DP10382 Small sample performance of indirect inference on DSGE models. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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