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

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

with different variable combinations and descriptive models (Vector Auto Regressions, Impulse Response Functions or Moments …

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

Targeting moments for calibration compared with indirect inference

Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2022

of certain data moments; the modelís simulated performance for other moments is then compared to the data for these as an … Inference, FII, chooses a set of moments as the auxiliary model and computes the Wald statistic for the joint distribution of … these moments according to the structural DSGE model; it tests the model according to the probability of obtaining the data …

Persistent link: https://www.econbiz.de/10014433313

The role of fiscal policy : a survey of recent empirical findings

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2023

DSGE models based on New Keynesian principles, which have been extended to allow for banking, the zero lower bound on interest rates (ZLB), and varying price duration, can account well for recent macroeconomic behavior across a variety of economies. These models Önd that active Öscal policy...

Persistent link: https://www.econbiz.de/10014433366

Indirect inference and small sample bias - some recent results

Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2023

Macroeconomic researchers use a variety of estimators to parameterise their models empirically. One such is FIML; another is a form of indirect inference we term "informal" under which data features are "targeted" by the model -i.e. parameters are chosen so that model-simulated features...

Persistent link: https://www.econbiz.de/10014440828