Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/174118
Authors: 
Minford, Patrick
Wickens, Michael R.
Xu, Yongdeng
Year of Publication: 
2016
Series/Report no.: 
Cardiff Economics Working Papers E2016/5
Abstract: 
Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, in small samples power can differ. We explore small sample power with three different auxiliary models: a VAR, average Impulse Response Functions and Moments. The latter corresponds to the Simulated Moments Method. We find that in a small macro model there is no difference in power. But in a large complex macro model the power with Moments rises more slowly with increasing misspecification than with the other two which remain similar.
Subjects: 
Indirect Inference
DGSE model
Auxiliary Models
Simulated Moments Method
JEL: 
C12
C32
C52
E1
Document Type: 
Working Paper

Files in This Item:
File
Size
200.63 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.