Arbeitspapier
Testing a DSGE model of the EU using indirect inference
We use the method of indirect inference, using the bootstrap, to test the Smets and Wouters model of the EU against a VAR auxiliary equation describing their data. We find that their model generates excessive variance compared with the data. But their model fits the dynamic facts quite well if the errors have the properties assumed by SW but scaled down. We compare a New Classical version of the model which also performs reasonably if error properties are chosen using New Classical priors (notably excluding shocks to preferences). Both versions have (different) difficulties fitting the data if the actual error properties are used. A model combining rigid and flexible-wage/price sectors, with a weight of around 5% on the rigid sector, does best in fitting the data.
- Sprache
-
Englisch
- Erschienen in
-
Series: Cardiff Economics Working Papers ; No. E2008/11
- 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
- Thema
-
bootstrap
DSGE Model
VAR model
Model of EU
indirect inference
Wald statistic
Inflation
Gesamtwirtschaftliche Produktion
Bootstrap-Verfahren
VAR-Modell
Dynamisches Gleichgewicht
Kritik
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Meenagh, David
Minford, Patrick
Wickens, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Cardiff University, Cardiff Business School
- (wo)
-
Cardiff
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 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
- Meenagh, David
- Minford, Patrick
- Wickens, Michael
- Cardiff University, Cardiff Business School
Entstanden
- 2008
Ähnliche Objekte (12)
Testing part of a DSGE model by indirect inference
What is the truth about DSGE models? Testing by indirect inference
Testing DSGE models by indirect inference: A survey of recent findings
The small sample properties of indirect inference in testing and estimating DSGE models
Testing DSGE models by indirect inference and other methods: Some Monte Carlo experiments
Comparing different data descriptors in indirect inference tests on DSGE models
Small sample performance of indirect inference on DSGE models
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
Two orthogonal continents: Testing a two-country DSGE model of the US and the EU using indirect inference
Testing a model of the UK by the method of indirect inference
Revisiting the great moderation using the method of indirect inference
Testing part of a DSGE model by indirect inference
What is the truth about DSGE models? Testing by indirect inference
Testing DSGE models by indirect inference: A survey of recent findings
The small sample properties of indirect inference in testing and estimating DSGE models
Testing DSGE models by indirect inference and other methods: Some Monte Carlo experiments
Comparing different data descriptors in indirect inference tests on DSGE models
Small sample performance of indirect inference on DSGE models
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
Two orthogonal continents: Testing a two-country DSGE model of the US and the EU using indirect inference
Testing a model of the UK by the method of indirect inference
Revisiting the great moderation using the method of indirect inference
Testing part of a DSGE model by indirect inference
What is the truth about DSGE models? Testing by indirect inference
Testing DSGE models by indirect inference: A survey of recent findings
The small sample properties of indirect inference in testing and estimating DSGE models
Testing DSGE models by indirect inference and other methods: Some Monte Carlo experiments
Comparing different data descriptors in indirect inference tests on DSGE models
Small sample performance of indirect inference on DSGE models
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
Two orthogonal continents: Testing a two-country DSGE model of the US and the EU using indirect inference
Testing a model of the UK by the method of indirect inference