@techreport{VoPhuongMaiLe2012Testing,
abstract = {Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions of the Smets-Wouters New Keynesian model of the US postwar period. We compare these with tests based on direct inference (using the Likelihood Ratio), and on the Del Negro-Schorfheide DSGE-VAR weight. We find that the power of all three tests is substantial so that a false model will tend to be rejected by all three; but that the power of the indirect inference tests are by far the greatest, necessitating re-estimation by indirect inference to ensure that the model is tested in its fullest sense.},
address = {Cardiff},
author = {Vo Phuong Mai Le and David Meenagh and Patrick Minford and Michael Wickens},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C12; C32; C52; E1; 330; bootstrap; DSGE; New Keynesian; New Classical; indirect inference; Wald statistic; likelihood ratio; DSGE-VAR weight},
language = {eng},
number = {E2012/15},
publisher = {Cardiff Univ, Cardiff Business School, Economics Section},
title = {Testing DSGE models by indirect inference and other methods: Some Monte Carlo experiments},
type = {Cardiff Economics Working Papers},
url = {http://hdl.handle.net/10419/65790},
year = {2012}
}
