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dc.contributor.authorVo Phuong Mai Leen_US
dc.contributor.authorMeenagh, Daviden_US
dc.contributor.authorMinford, Patricken_US
dc.contributor.authorWickens, Michaelen_US
dc.description.abstractUsing 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.en_US
dc.publisherCardiff University, Cardiff Business School Cardiffen_US
dc.relation.ispartofseriesCardiff Economics Working Papers E2012/15en_US
dc.subject.keywordNew Keynesianen_US
dc.subject.keywordNew Classicalen_US
dc.subject.keywordindirect inferenceen_US
dc.subject.keywordWald statisticen_US
dc.subject.keywordlikelihood ratioen_US
dc.subject.keywordDSGE-VAR weighten_US
dc.titleTesting DSGE models by indirect inference and other methods: Some Monte Carlo experimentsen_US
dc.typeWorking Paperen_US
Appears in Collections:Cardiff Economics Working Papers, Cardiff Business School, Cardiff University

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