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Cardiff Economics Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/65790
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Vo Phuong Mai Le | | en_US |
| dc.contributor.author | | Meenagh, David | | en_US |
| dc.contributor.author | | Minford, Patrick | | en_US |
| dc.contributor.author | | Wickens, Michael | | en_US |
| dc.date.accessioned | | 2012-07-18 | | en_US |
| dc.date.accessioned | | 2012-11-02T14:28:41Z | | - |
| dc.date.available | | 2012-11-02T14:28:41Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/65790 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Cardiff Univ, Cardiff Business School, Economics Section Cardiff | | en_US |
| dc.relation.ispartofseries | | Cardiff Economics Working Papers E2012/15 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | C52 | | en_US |
| dc.subject.jel | | E1 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | bootstrap | | en_US |
| dc.subject.keyword | | DSGE | | en_US |
| dc.subject.keyword | | New Keynesian | | en_US |
| dc.subject.keyword | | New Classical | | en_US |
| dc.subject.keyword | | indirect inference | | en_US |
| dc.subject.keyword | | Wald statistic | | en_US |
| dc.subject.keyword | | likelihood ratio | | en_US |
| dc.subject.keyword | | DSGE-VAR weight | | en_US |
| dc.title | | Testing DSGE models by indirect inference and other methods: Some Monte Carlo experiments | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 719686873 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Cardiff Economics Working Papers
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