| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0177 |
| 来源ID | Technical Working Paper 0177 |
| Small Sample Properties of GMM for Business Cycle Analysis | |
| Lawrence J. Christiano; Wouter J. Den Haan | |
| 发表日期 | 1995-03-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | We investigate, by Monte Carlo methods, the finite sample properties of GMM procedures for conducting inference about statistics that are of interest in the business cycle literature. These statistics include the second moments of data filtered using the first difference and Hodrick-Prescott filters, and they include statistics for evaluating model fit. Our results indicate that, for the procedures considered, the existing asymptotic theory is not a good guide in a sample the size of quarterly postwar U.S. data. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0177 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562479 |
| 推荐引用方式 GB/T 7714 | Lawrence J. Christiano,Wouter J. Den Haan. Small Sample Properties of GMM for Business Cycle Analysis. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0177.pdf（1569KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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