Minford, Anthony, Wickens, Michael and Xu, Yongdeng 2016. Comparing different data descriptors in Indirect Inference tests on DSGE models. Economics Letters 145 , pp. 157-161. 10.1016/j.econlet.2016.06.016 |
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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.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Business (Including Economics) |
Subjects: | H Social Sciences > HF Commerce |
Uncontrolled Keywords: | Indirect Inference; DGSE model; Auxiliary models; Simulated Moments Method |
Publisher: | Elsevier |
ISSN: | 0165-1765 |
Date of First Compliant Deposit: | 23 November 2016 |
Date of Acceptance: | 12 June 2016 |
Last Modified: | 11 Mar 2020 17:58 |
URI: | http://orca-mwe.cf.ac.uk/id/eprint/92553 |
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