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Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments

Le, Vo Phuong Mai; Meenagh, David; Minford, A. Patrick L.; … - Economics Section, Cardiff Business School - 2012

Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions … (using the Likelihood Ratio), and on the Del Negro–Schorfheide DSGE–VAR weight. We ?nd that the power of all three tests is …

Persistent link: https://www.econbiz.de/10010763978

Small sample performance of indirect inference on DSGE models

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - 2015

Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE models in small samples …

Persistent link: https://www.econbiz.de/10010504468

Testing macro models by indirect inference: A survey for users

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - 2015

DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR …

Persistent link: https://www.econbiz.de/10011533761

Small sample performance of indirect inference on DSGE models

Le, Vo Phuong Mai; Meenagh, David; Minford, A. Patrick L.; … - Economics Section, Cardiff Business School - 2015

Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE models in small samples …

Persistent link: https://www.econbiz.de/10011147727

Two orthogonal continents: Testing a two-country DSGE model of the US and the EU using indirect inference

Meenagh, David; Meenagh, David; Minford, Patrick; … - 2009

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/10010288793

How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference

Minford, Patrick; Wickens, Michael - 2010

We evaluate the Smets-Wouters model of the US dynamically using indirect inference with a VAR representation of the main US data series. We find that the New Keynesian SW model is badly rejected by the data's dynamic properties and in particular cannot match the variability of the data. An...

Persistent link: https://www.econbiz.de/10010288839

Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference

Le, Vo Phuong Mai; Meenagh, David; Minford, A. Patrick L.; … - Economics Section, Cardiff Business School - 2009

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 ridigity, 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/10005036279

How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference

Le, Vo Phuong Mai; Meenagh, David; Minford, A. Patrick L.; … - Economics Section, Cardiff Business School - 2008

We evaluate the Smets-Wouters New Keynesian model of the US postwar period, using indirect inference, the bootstrap and …

Persistent link: https://www.econbiz.de/10005211998

Some problems in the testing of DSGE models

Minford, Patrick; Wickens, Michael - 2009

We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments and other …

Persistent link: https://www.econbiz.de/10010288773

The 'puzzles' methodology: En route to indirect inference?

Minford, Patrick; Wickens, Michael - 2009

We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments with data …

Persistent link: https://www.econbiz.de/10010288836