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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

What causes banking crises? An empirical investigation

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

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/10010763975

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

How good are out of sample forecasting Tests on DSGE models?

Minford, A. Patrick L.; Zhou, Peng; Xu, Yongden - Economics Section, Cardiff Business School - 2014

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 …

Persistent link: https://www.econbiz.de/10010903787

Testing macroeconomic models by indirect inference on unfiltered data

Meenagh, David; Minford, A. Patrick L.; Wickens, Michael R. - Economics Section, Cardiff Business School - 2012

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 business 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/10010903797

A DSGE Model of China

Minford, A. Patrick L.; Zhou, Peng; Dai, Li - Economics Section, Cardiff Business School - 2014

We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping’s reforms up until the crisis period. Bayesian ranking methods are heavily influenced by controversial priors on the degree of price/wage rigidity. When the overall models are...

Persistent link: https://www.econbiz.de/10010776377

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

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

Testing DSGE models by indirect inference and other methods: Some Monte Carlo experiments

Meenagh, David; Minford, Patrick; Wickens, Michael - 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 find that the power of all three tests is …

Persistent link: https://www.econbiz.de/10010288818

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