Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/174112 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Cardiff Economics Working Papers No. E2016/12
Verlag: 
Cardiff University, Cardiff Business School, Cardiff
Zusammenfassung: 
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.
Schlagwörter: 
sub sectors of models
limited information
indirect inference
testing DSGE models equations
Monte Carlo
power
test size
JEL: 
C12
C32
C52
E1
Dokumentart: 
Working Paper

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