filtering of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to …

model is estimated and tested using the Indirect Inference method and is found to fit the dynamic behaviour of key variables …

indirect inference which circumvents the bias of single-equation tests, we find strong and wide evidence of international risk-sharing. …

through the lens of indirect inference; hence, we provide new evidence of the hypotheses' empirical validity spuriously …

and test the model using the indirect inference method, and our simulations indicate that a nominal GDP targeting rule …

; another is a form of indirect inference we term "informal" under which data features are "targeted" by the model -i … indirect inference, in which the joint probability of the data- generated auxiliary model is maximised under the model …

We set out Modern Monetary Theory (MMT) as a full DSGE model, and test it by indirect inference on post Financial …

Maximum Likelihood (ML) shows both lower power and higher bias in small sample Monte Carlo experiments than Indirect … Inference (II) and IIís higher power comes from its use of the model-restricted distribution of the auxiliary model coeffi …

informal test of the model. We call this procedure informal Indirect Inference, III. By contrast what we call Formal Indirect … follows that models estimated by III will typically also be rejected by formal indirect inference tests. … Inference, FII, chooses a set of moments as the auxiliary model and computes the Wald statistic for the joint distribution of …