In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The modelling framework under investigation can accommodate both nonlinear deterministic trends and cross-sectional dependence. And we consider the so-called "large panels" where both the...

We evaluate the Smets-Wouters model of the US dynamically using indirect inference with a VAR representation of the main US data series. We find that the New Keynesian SW model is badly rejected by the data's dynamic properties and in particular cannot match the variability of the data. An...

We calibrate a standard New Keynesian model with three alternative representations of monetary policy- an optimal timeless rule, a Taylor rule and another with interest rate smoothing- with the aim of testing which if any can match the data according to the method of indirect inference. We find...

We add the Bernanke-Gertler-Gilchrist model to a world model consisting of the US, the Eurozone and the Rest of the World in order to explore the causes of the banking crisis. We test the model against linear-detrended data and reestimate it by indirect inference; the resulting model passes the...