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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
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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
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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
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Testing a DSGE model of the EU using indirect inference
Meenagh, David; Minford, Patrick; Wickensy, Michael - Centre for Dynamic Macroeconomic Analysis, University … - 2007
We use the method of indirect inference, using the bootstrap, to test the Smets and Wouters model of the EU against a … excessive variance compared with the data. If the errors are scaled down, then the original model marginally passes the Wald … inflation variance and inadequate output variance. If the large consumption and investment errors are removed as possibly due to …
Persistent link: https://www.econbiz.de/10005220912
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How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - In: Journal of Economic Dynamics and Control 35 (2011) 12, pp. 2078-2104
We evaluate the Smets–Wouters New Keynesian model of the US postwar period, using indirect inference, the bootstrap and …
Persistent link: https://www.econbiz.de/10010871042
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The 'Puzzles' Methodology: en route to Indirect Inference?
Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2009
We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments with data moments. We compare these with the method of Indirect Inference to which they are closely related. We illustrate the comparison with contrasting assessments of a two-country model in...
Persistent link: https://www.econbiz.de/10008496453
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How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference
Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2009
We evaluate the Smets-Wouters model of the US using indirect inference with a VAR representation of the main US data series. We find that the original New Keynesian SW model is on the margin of acceptance when SW's own estimates of the variances and time-series behaviour of the structural errors...
Persistent link: https://www.econbiz.de/10008496457
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The ‘Puzzles’ Methodology: En Route to Indirect Inference?
Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael - Centre for Dynamic Macroeconomic Analysis, University … - 2009
We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments with data moments. We compare these with the method of Indirect Inference to which they are closely related. We illustrate the comparison with contrasting assessments of a two-country model in...
Persistent link: https://www.econbiz.de/10008527081
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Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 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/10004973965
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Small sample performance of indirect inference on DSGE models
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 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/10011165662