Testing part of a DSGE model by Indirect Inference | E-Axes
 

Search
Login
Username:
Password:
Not a member yet? Click here.
Forgot your Password?
Archives - Categories
Home
On Inequality
On the Eurozone Debt Crisis
On Monetary Policy and Central Banking
On Global Economic Growth
On the Greek Debt Crisis
On the Banking and Financial Sectors
On Brexit
On China
On India
On Global Inflation
On Currencies
On the US Debt
On the "Economics" of the Arab Spring
Blogs
Working Papers
Books
Books suggested by members



Testing part of a DSGE model by Indirect Inference

date Date: November 1, 2016
date Author(s): Patrick Minford, Michael Wickens and Yongdeng Xu
date Affiliation: Cardiff University
Abstract

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 SmetsWouters model on US Great Moderation data we reject the speciÖcation of the wage-price but not the expenditure sector, pointing to the Örst as the source of overall model rejection


© 2011–2017 e-axes. All rights reserved. | Credits | Contact Us | Privacy Statement | Mon 22 Jan, 2018 17:59:09 PM
e-axes is proudly powered by Norder - Creative Solutions