Testing macroeconomic models by indirect inference on unfiltered data

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.

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Year of publication:	2012
Authors:	Meenagh, David ; Minford, Patrick ; Wickens, Michael
Publisher:	Cardiff : Cardiff University, Cardiff Business School
Subject:	Ökonometrisches Makromodell \| Real Business Cycle \| Offene Volkswirtschaft \| Statistischer Test \| Inferenzstatistik \| Schätzung \| Großbritannien \| bootstrap \| DSGE \| VECM \| indirect inference \| Monte Carlo

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Series:	Cardiff Economics Working Papers ; E2012/17
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	723753644 [GVK] hdl:10419/65819 [Handle]
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; E1 - General Aggregative Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010288847