Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions … 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 …

behaviour of US macroeconomic data up to and including the banking crisis. We use the method of indirect inference which …

We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply …

method of indirect inference. We find that after full re-estimation the model with behavioural expectations is strongly …

The asymptotic efficiency of indirect estimation methods, such as the efficient method of moments and indirect … inference, depends on the choice of the auxiliary model. To date, this choice has been somewhat ad hoc and based on an educated …

We investigate the relative roles of monetary policy and shocks in causing the Great Moderation, using indirect … inference where a DSGE model is tested for its ability to mimic a VAR describing the data. A New Keynesian model with a Taylor …