Arbeitspapier
Indirect inference: A methodological essay on its role and applications
In this short paper we review the intellectual history of indirect inference as a methodology in its progress from an informal method for evaluating early models of representative agents to formally testing DSGE models of the economy; and we have considered the issues that can arise in carrying out these tests. We have noted that it is asymptotically equivalent to using FIML-i.e. in large samples; and that in small samples it is superior to FIML both in lowering bias and achieving good power. In application its power needs to be evaluated by Monte Carlo experiment for the particular context. Structural models need to be defined in terms of their scope of application and auxiliary models chosen suitably to test their applicability within this scope. Power can be set too high by using too many auxiliary model features to match; and it can be pushed too low by using too few. Excessively high shocks, such as wars and crises, may also limit a model's applicability by causing unusual behaviour that cannot be captured by the model. If so, these need to be excluded so that the model is evaluated for the 'normal times' in which it is applicable.
- Sprache
-
Englisch
- Erschienen in
-
Series: Cardiff Economics Working Papers ; No. E2024/1
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Minford, Patrick
Xu, Yongdeng
- Ereignis
-
Veröffentlichung
- (wer)
-
Cardiff University, Cardiff Business School
- (wo)
-
Cardiff
- (wann)
-
2024
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
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
- Xu, Yongdeng
- Cardiff University, Cardiff Business School
Entstanden
- 2024
Ähnliche Objekte (12)
Revisiting the great moderation using the method of indirect inference
The 'puzzles' methodology: En route to indirect inference?
Targeting moments for calibration compared with indirect inference
Testing part of a DSGE model by indirect inference
Testing macroeconomic models by indirect inference on unfiltered data
Indirect inference and small sample bias - Some recent results
Testing a DSGE model of the EU using indirect inference
Resolving the public sector wage premium puzzle by indirect inference
Comparing different data descriptors in indirect inference tests on DSGE models
Testing a model of the UK by the method of indirect inference
Is there international risk-sharing between developed economies? New evidence from indirect inference
Evaluation and indirect inference estimation of inattentive features in a New Keynesian framework
Revisiting the great moderation using the method of indirect inference
The 'puzzles' methodology: En route to indirect inference?
Targeting moments for calibration compared with indirect inference
Testing part of a DSGE model by indirect inference
Testing macroeconomic models by indirect inference on unfiltered data
Indirect inference and small sample bias - Some recent results
Testing a DSGE model of the EU using indirect inference
Resolving the public sector wage premium puzzle by indirect inference
Comparing different data descriptors in indirect inference tests on DSGE models
Testing a model of the UK by the method of indirect inference
Is there international risk-sharing between developed economies? New evidence from indirect inference
Evaluation and indirect inference estimation of inattentive features in a New Keynesian framework
Revisiting the great moderation using the method of indirect inference
The 'puzzles' methodology: En route to indirect inference?
Targeting moments for calibration compared with indirect inference
Testing part of a DSGE model by indirect inference
Testing macroeconomic models by indirect inference on unfiltered data
Indirect inference and small sample bias - Some recent results
Testing a DSGE model of the EU using indirect inference
Resolving the public sector wage premium puzzle by indirect inference
Comparing different data descriptors in indirect inference tests on DSGE models
Testing a model of the UK by the method of indirect inference
Is there international risk-sharing between developed economies? New evidence from indirect inference