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Title:Testing macroeconomic models by indirect inference on unfiltered data PDF Logo
Authors:Meenagh, David
Minford, Patrick
Wickens, Michael
Issue Date:2012
Series/Report no.:Cardiff Economics Working Papers E2012/17
Abstract:We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real business cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.
Subjects:bootstrap
DSGE
VECM
indirect inference
Monte Carlo
JEL:C12
C32
C52
E1
Document Type:Working Paper
Appears in Collections:Cardiff Economics Working Papers

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