Showing 1 - 6 of 6
Simulation-based estimation methods have become more widely used in recent years. We propose a set of tests for structural change in models estimates via Simulated Method of Moments (see Duffie and Singleton (1993)). These tests extend the recent work of Andrews (1993) and Sowell (1996a, b)...
Persistent link: https://www.econbiz.de/10005248381
We examine the dual role of labor adjustment costs and staggered wage contracts as endogenous propagation mechanisms. We show that a dynamic general equilibrium model which combines these two features explains the autocorrelation functions of output growth and nominal wage growth, as well as the...
Persistent link: https://www.econbiz.de/10005611927
Several estimation procedures such as the Efficient Method of Moments (EMM) of Gallant and Tauchen (1996) and Indirect Inference procedure of Gouriéroux, Monfort and Renault (1993) involve two models, an auxiliary one and a model of interest. The role played by both models poses challenges and...
Persistent link: https://www.econbiz.de/10005611931
In this paper, the authors examine how well the Hodrick-Prescott (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series. The authors assess these filters using two different definitions of the business-cycle...
Persistent link: https://www.econbiz.de/10005611936
This paper shows that predictive tests for structural change with unknown breakpoint are optimal tests such as defined by Sowell (1996a, 1996b). Optimal predictive tests for parameter instability and overidentifying restrictions stability are proposed. An optimal predictive test for parameter...
Persistent link: https://www.econbiz.de/10005611955
We analyse the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation based estimation method, and detail its use for detecting the threshold effect in threshold moving...
Persistent link: https://www.econbiz.de/10005572490