| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11819 |
| DP11819 Testing part of a DSGE model by Indirect Inference | |
| Patrick Minford; Michael R. Wickens | |
| 发表日期 | 2017-01-31 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We propose a new type of test. Its aim is to test subsets of the structural equations of a DSGE model. The test draws on the statistical inference for limited information models and the use of indirect inference to test DSGE models. Using Monte Carlo experiments on two subsets of equations of the Smets-Wouters model we show that the model has accurate size and good power in small samples. In a test of the Smets-Wouters model on US Great Moderation data we reject the specification of the wage-price but not the expenditure sector, pointing to the first as the source of overall model rejection. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Sub sectors of models Limited information indirect inference Testing dsge models equations Monte carlo Power Test size |
| URL | https://cepr.org/publications/dp11819 |
| 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/540632 |
| 推荐引用方式 GB/T 7714 | Patrick Minford,Michael R. Wickens. DP11819 Testing part of a DSGE model by Indirect Inference. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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