Using indirect inference based on a VAR we confront US data from 1972 to 2007 with a standard New Keynesian model in …

moments. We compare these with the method of Indirect Inference to which they are closely related. We illustrate the … comparison with contrasting assessments of a two-country model in two recent papers. We conclude that Indirect Inference is the …

We evaluate the Smets-Wouters model of the US using indirect inference with a VAR representation of the main US data …

often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical …

model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM …

its asymptotic distribution, and we show how this distribution can be approximated by bootstrap methods. Our methods of … inference remain asymptotically valid when the order condition is satisfied, regardless of whether the usual rank condition for … to ensure the asymptotic validity of Bayesian methods of inference. A simulation study suggests that the frequentist and …

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 … power of the indirect inference test is by far the greater, necessitating re-estimation to ensure that the model is tested …

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