Showing 1 - 10 of 17
often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical …
Persistent link: https://www.econbiz.de/10005498104
We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR to represent the data, we find the model as a whole...
Persistent link: https://www.econbiz.de/10004973965
power of the indirect inference test is by far the greater, necessitating re-estimation to ensure that the model is tested …
Persistent link: https://www.econbiz.de/10011165662
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.
Persistent link: https://www.econbiz.de/10011083255
Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions of the Smets-Wouters New Keynesian model of the US postwar period. We compare these with tests based on direct inference (using the Likelihood Ratio), and on the Del...
Persistent link: https://www.econbiz.de/10011084212
appropriately. We show that the joint Wald test is invariant to this transformation and converges to a nonstandard distribution …, which can be approximated by the bootstrap, allowing the construction of asymptotically valid joint confidence sets for any …
Persistent link: https://www.econbiz.de/10011084610
explore the causes of the banking crisis. We test the model against the data on HP-detrended data and reestimate it by … indirect inference; the resulting model passes the Wald test on output, inflation and interest rates. We then extract the model …
Persistent link: https://www.econbiz.de/10011084646
its asymptotic distribution, and we show how this distribution can be approximated by bootstrap methods. Our methods of …
Persistent link: https://www.econbiz.de/10011145457
statistical inference. Here we examine a new and inexpensive recursive bootstrap procedure that allows forecasters to account …
Persistent link: https://www.econbiz.de/10005666706
This paper uses a threshold autoregressive (TAR) framework to assess the relative importance of structural breaks and asymmetric persistence in accounting for the post-war unemployment experience. In comparing unemployment patterns across time periods and countries, we take the US as a...
Persistent link: https://www.econbiz.de/10005788887