Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/174112
Authors: 
Minford, Patrick
Wickens, Michael R.
Xu, Yongdeng
Year of Publication: 
2016
Series/Report no.: 
Cardiff Economics Working Papers E2016/12
Abstract: 
We propose a new type of test. Its aim is to test subsets of the structural equations of a DSGE model. The test draws on the statistical inference for limited information models and the use of indirect inference to test DSGE models. Using Monte Carlo experiments on two subsets of equations of the Smets-Wouters model we show that the model has accurate size and good power in small samples. In a test of the Smets-Wouters model on US Great Moderation data we reject the specification of the wage-price but not the expenditure sector, pointing to the first as the source of overall model rejection.
Subjects: 
sub sectors of models
limited information
indirect inference
testing DSGE models equations
Monte Carlo
power
test size
JEL: 
C12
C32
C52
E1
Document Type: 
Working Paper

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