Arbeitspapier
Testing part of a DSGE model by indirect inference
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Cardiff Economics Working Papers ; No. E2016/12
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Thema
-
sub sectors of models
limited information
indirect inference
testing DSGE models equations
Monte Carlo
power
test size
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Minford, Patrick
Wickens, Michael R.
Xu, Yongdeng
- Ereignis
-
Veröffentlichung
- (wer)
-
Cardiff University, Cardiff Business School
- (wo)
-
Cardiff
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Minford, Patrick
- Wickens, Michael R.
- Xu, Yongdeng
- Cardiff University, Cardiff Business School
Entstanden
- 2016
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