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Persistent link: https://www.econbiz.de/10003407959
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/10009583708
Persistent link: https://www.econbiz.de/10003390683
We investigate the role of energy shocks during the Great Recession. We study the behaviour of the UK energy and non-energy intensive sectors firms in a real business cycle (RBC) model using unfiltered data. The model is econometrically estimated and tested by indirect inference. Output...
Persistent link: https://www.econbiz.de/10011886799