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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

Testing part of a DSGE model by indirect inference

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

We propose a new type of test. Its aim is to test subsets of the structural equations of a DSGE model. The test draws on the statistical inference for limited information models and the use of indirect inference to test DSGE models. Using Monte Carlo experiments on two subsets of equations of...

Persistent link: https://www.econbiz.de/10011688786

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

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

Can a small New Keynesian model of the world economy with risk-pooling match the facts?

Minford, Patrick; Ou, Zhirong; Zhu, Zheyi - 2019

We ask whether a model of the US and Europe trading with the rest of the world can match the facts of world behaviour in a powerful indirect inference test. One version has uncovered interest parity (UIP), the other risk-pooling. Both pass the test but the most probable is risk-pooling. This is...

Persistent link: https://www.econbiz.de/10012009454

Small sample performance of indirect inference on DSGE models

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

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). We find that both tests have power so that a...

Persistent link: https://www.econbiz.de/10010470917

Two orthogonal continents : testing a two-country DSGE model of the US and the EU using indirect inference

Le, Vo Phuong Mai; Meenagh, David; Meenagh, David; … - 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/10003817144

On the determination of the real exchange rate in free markets : do consumer risk-pooling and uncovered interest parity differ and fit?

Minford, Patrick; Ou, Zhirong; Zhu, Zheyi - 2023

We revisit the "puzzle" in open economy studies that evidence of international risk-sharing is hardly seen despite the completeness of the financial market. We reassess both risk-pooling via state-contingent bonds, and uncovered interest parity - both were believed to be different, and...

Persistent link: https://www.econbiz.de/10014434689

Is there consumer risk-pooling in the open economy? : the evidence reconsidered

Minford, Patrick; Ou, Zhirong; Zhu, Zheyi - 2020

We revisit the evidence on consumer risk-pooling and uncovered interest parity. Widely used singleequation tests are strongly biased against both. Using the full-model, Indirect Inference test, which is unbiased and has Goldilocks power by Monte Carlo experiments, we …nd that both the...

Persistent link: https://www.econbiz.de/10012483489