Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65790
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dc.contributor.authorVo Phuong Mai Leen_US
dc.contributor.authorMeenagh, Daviden_US
dc.contributor.authorMinford, Patricken_US
dc.contributor.authorWickens, Michaelen_US
dc.date.accessioned2012-07-18en_US
dc.date.accessioned2012-11-02T14:28:41Z-
dc.date.available2012-11-02T14:28:41Z-
dc.date.issued2012en_US
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_US
dc.language.isoengen_US
dc.publisher|aCardiff University, Cardiff Business School |cCardiffen_US
dc.relation.ispartofseries|aCardiff Economics Working Papers |xE2012/15en_US
dc.subject.jelC12en_US
dc.subject.jelC32en_US
dc.subject.jelC52en_US
dc.subject.jelE1en_US
dc.subject.ddc330en_US
dc.subject.keywordbootstrapen_US
dc.subject.keywordDSGEen_US
dc.subject.keywordNew Keynesianen_US
dc.subject.keywordNew Classicalen_US
dc.subject.keywordindirect inferenceen_US
dc.subject.keywordWald statisticen_US
dc.subject.keywordlikelihood ratioen_US
dc.subject.keywordDSGE-VAR weighten_US
dc.titleTesting DSGE models by indirect inference and other methods: Some Monte Carlo experimentsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn719686873en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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