Showing 1 - 10 of 18
Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices,...
Persistent link: https://www.econbiz.de/10008553067
Models for the twelve-month-ahead US rate of inflation, measured by the chain weighted consumer expenditure deflator, are estimated for 1974-99 and subsequent pseudo out-of-sample forecasting performance is examined. Alternative forecasting approaches for different information sets are compared...
Persistent link: https://www.econbiz.de/10008468684
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
Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE models in small samples, using various models in widespread use. We compare these with tests based on direct inference (using the Likelihood Ratio). We find that both tests have power so that a...
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
, 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
We add the Bernanke-Gertler-Gilchrist model to a modified version of the Smets-Wouters model of the US in order to 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...
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