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.
- Language
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Englisch
- Bibliographic citation
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Series: Cardiff Economics Working Papers ; No. E2008/11
- 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
- Subject
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bootstrap
DSGE Model
VAR model
Model of EU
indirect inference
Wald statistic
Inflation
Gesamtwirtschaftliche Produktion
Bootstrap-Verfahren
VAR-Modell
Dynamisches Gleichgewicht
Kritik
EU-Staaten
- Event
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Geistige Schöpfung
- (who)
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Meenagh, David
Minford, Patrick
Wickens, Michael
- Event
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Veröffentlichung
- (who)
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Cardiff University, Cardiff Business School
- (where)
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Cardiff
- (when)
-
2008
- Handle
- Last update
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10.03.2025, 11:46 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
- Meenagh, David
- Minford, Patrick
- Wickens, Michael
- Cardiff University, Cardiff Business School
Time of origin
- 2008
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