Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/65790 
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dc.contributor.authorVo Phuong Mai Leen
dc.contributor.authorMeenagh, Daviden
dc.contributor.authorMinford, Patricken
dc.contributor.authorWickens, Michaelen
dc.date.accessioned2012-07-18-
dc.date.accessioned2012-11-02T14:28:41Z-
dc.date.available2012-11-02T14:28:41Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/65790-
dc.description.abstractUsing 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
dc.language.isoengen
dc.publisher|aCardiff University, Cardiff Business School |cCardiffen
dc.relation.ispartofseries|aCardiff Economics Working Papers |xE2012/15en
dc.subject.jelC12en
dc.subject.jelC32en
dc.subject.jelC52en
dc.subject.jelE1en
dc.subject.ddc330en
dc.subject.keywordbootstrapen
dc.subject.keywordDSGEen
dc.subject.keywordNew Keynesianen
dc.subject.keywordNew Classicalen
dc.subject.keywordindirect inferenceen
dc.subject.keywordWald statisticen
dc.subject.keywordlikelihood ratioen
dc.subject.keywordDSGE-VAR weighten
dc.titleTesting DSGE models by indirect inference and other methods: Some Monte Carlo experiments-
dc.typeWorking Paperen
dc.identifier.ppn719686873en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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