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 businss 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:	2012-07
Authors:	Meenagh, David ; Minford, Patrick ; Wickens, Michael R.
Institutions:	C.E.P.R. Discussion Papers
Subject:	Bootstrap \| DSGE \| indirect inference \| Monte Carlo \| VECM

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 9058
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; E1 - General Aggregative Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011083255