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.
- Language
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Englisch
- Bibliographic citation
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Series: Cardiff Economics Working Papers ; No. E2016/12
- Classification
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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
- Subject
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sub sectors of models
limited information
indirect inference
testing DSGE models equations
Monte Carlo
power
test size
- Event
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Geistige Schöpfung
- (who)
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Minford, Patrick
Wickens, Michael R.
Xu, Yongdeng
- Event
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Veröffentlichung
- (who)
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Cardiff University, Cardiff Business School
- (where)
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Cardiff
- (when)
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2016
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Minford, Patrick
- Wickens, Michael R.
- Xu, Yongdeng
- Cardiff University, Cardiff Business School
Time of origin
- 2016
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Testing macroeconomic models by indirect inference on unfiltered data
How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference
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