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A correction function approach to solve the incidental parameter problem

Li, Guangjie; Leon-Gonzalez, Roberto - 2009

under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …

Persistent link: https://www.econbiz.de/10003817215

Taking a new contour: A novel approach to panel unit root tests

Chang, Yoosoon - In: Journal of Econometrics 169 (2012) 1, pp. 15-28

to invent tools and methodologies for effective inferences in panel unit root models. Simulations show that our approach …

Persistent link: https://www.econbiz.de/10010574097

Testing macro models by indirect inference : a survey for users

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

With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a...

Persistent link: https://www.econbiz.de/10011317836

Comparing Indirect Inference and likelihood testing : asymptotic and small sample results

Meenagh, David; Minford, Patrick; Wickens, Michael R.; … - 2015

Indirect Inference has been found to have much greater power than the Likelihood Ratio in small samples for testing DSGE models. We look at asymptotic and large sample properties of these tests to understand why this might be the case. We find that the power of the LR test is undermined when...

Persistent link: https://www.econbiz.de/10011317842

Comparing different data descriptors in indirect inference tests on DSGE models

Minford, Patrick; Wickens, Michael R.; Xu, Yongdeng - 2016

Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, in small samples power can differ. We explore small sample power with three different auxiliary models: a VAR, average Impulse Response Functions...

Persistent link: https://www.econbiz.de/10011471762

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

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - 2012

Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions of the Smets-Wouters New Keynesian model of the US postwar period. We compare these with tests based on direct inference (using the Likelihood Ratio), and on the Del...

Persistent link: https://www.econbiz.de/10009563550

Bootstrap DEA and hypothesis testing

Tziogkidis, Panagiotis - 2012

Bootstrapping non-parametric models is a fairly complicated exercise which is associated with implicit assumptions or requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade; however, some of its assumptions and properties are...

Persistent link: https://www.econbiz.de/10009583705

What is the truth about DSGE models? : testing by indirect inference

Meenagh, David; Minford, Patrick; Wickens, Michael R.; … - 2016

This paper addresses the growing gulf between traditional macroeconometrics and the increasingly dominant preference among macroeconomists to use DSGE models and to estimate them using Bayesian estimation with strong priors but not to test them as they are likely to fail conventional statistical...

Persistent link: https://www.econbiz.de/10011688793

The small sample properties of Indirect Inference in testing and estimating DSGE models

Meenagh, David; Minford, Patrick; Wickens, Michael R.; … - 2018

Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, the small sample properties can differ. We explore small sample power and estimation bias both with different variable combinations and descriptive...

Persistent link: https://www.econbiz.de/10011886113

Almost unbiased estimation in simultaneous equations models with strong and/or weak instruments

Iglesias, Emma M.; Phillips, Garry D. A. - 2011 - This version: August 2011

We propose two simple bias reduction procedures that apply to estimators in a general static simultaneous equation model and which are valid under reatively weak distributional assumptions for the errors. Standard jackknife estimators, as applied to 2SLS, may not reduce the bias of the exogenous...

Persistent link: https://www.econbiz.de/10009260061