publication . Book . Preprint . Research . 2012

Testing macroeconomic models by indirect inference on unfiltered data

Meenagh, David; Minford, Patrick; Wickens, Michael; Cardiff University;
Open Access English
  • Published: 01 Jul 2012
  • Publisher: Cardiff University
  • Country: United Kingdom
We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real business cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.
free text keywords: Bootstrap; DSGE; VECM; indirect inference; Monte Carlo, C12, C32, C52, E1, bootstrap, DSGE, VECM, indirect inference, Monte Carlo, Ökonometrisches Makromodell, Real Business Cycle, Offene Volkswirtschaft, Statistischer Test, Inferenzstatistik, Schätzung, Großbritannien, Bootstrap; DSGE; indirect inference; Monte Carlo; VECM, HB, jel:C12, jel:C32, jel:C52, jel:E1, ddc:330
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