| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11816 |
| DP11816 Comparing different data descriptors in Indirect Inference tests on DSGE models | |
| Patrick Minford; Michael R. Wickens | |
| 发表日期 | 2017-01-31 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, in small samples power can differ. We explore small sample power with three different auxiliary models: a VAR, average Impulse Response Functions and Moments. The latter corresponds to the Simulated Moments Method. We find that in a small macro model there is no difference in power. But in a large complex macro model the power with Moments rises more slowly with increasing misspecification than with the other two which remain similar. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Dgse model Auxiliary models Simulated moments method indirect inference |
| URL | https://cepr.org/publications/dp11816 |
| 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/540629 |
| 推荐引用方式 GB/T 7714 | Patrick Minford,Michael R. Wickens. DP11816 Comparing different data descriptors in Indirect Inference tests on DSGE models. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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