全球智库信息集成服务系统(G2TT): DP10766 Testing macro models by indirect inference: a survey for users

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP10766
	DP10766 Testing macro models by indirect inference: a survey for users
	Patrick Minford; Michael R. Wickens; David Meenagh; Vo Phuong Mai Le
发表日期	2015-08-16
出版年	2015
语种	英语
摘要	With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both these tests have power so that a substantially false model will tend to be rejected by both; but that the power of the II test is substantially greater, both because the LR is applied after re-estimation of the model error processes and because the II test uses the false model's own restricted distribution for the auxiliary model's coefficients. This greater power allows users to focus this test more narrowly on features of interest, trading off power against tractability.
主题	Monetary Economics and Fluctuations
关键词	Bootstrap Dsge New keynesian New classical indirect inference Wald statistic Likelihood ratio
URL	https://cepr.org/publications/dp10766
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/539597
推荐引用方式 GB/T 7714	Patrick Minford,Michael R. Wickens,David Meenagh,et al. DP10766 Testing macro models by indirect inference: a survey for users. 2015.