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

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 …

Recently, it has been suggested that macroeconomic forecasts from estimated DSGE models tend to be more accurate out …-of-sample than random walk forecasts or Bayesian VAR forecasts. Del Negro and Schorfheide(2013) in particular suggest that the DSGE … Smets and Wouters DSGE model with that of several reduced form time series models. We first demonstrate that none of the …

Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter …

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 find that the power of all three tests is …

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … on a widely-used DSGE model to investigate the power of these tests. We find that in specification testing they have weak … power relative to an in-sample indirect inference test; this implies that a DSGE model may be badly mis-specified and still …