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Testing a DSGE model of the EU using indirect inference
Meenagh, David (contributor); Minford, Patrick (contributor) - 2008
We use the method of indirect inference, using the bootstrap, to test the Smets and Wouters model of the EU against a VAR auxiliary equation describing their data. We find that their model generates excessive variance compared with the data. But their model fits the dynamic facts quite well if...
Persistent link: https://www.econbiz.de/10003739572
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Testing a DSGE model of the EU using indirekt inference
Meenagh, David; Minford, Patrick; Wickens, Michael R. - 2008
Persistent link: https://www.econbiz.de/10003774025
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Testing a DSGE model of the EU using indirect inference
Meenagh, David; Minford, Patrick; Wickens, Michael R. - In: Open economies review 20 (2009) 4, pp. 435-471
Persistent link: https://www.econbiz.de/10003882394
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Bootstrap sequential determination of the co-integration rank in VAR-models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2010
Persistent link: https://www.econbiz.de/10003932344
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A bootstrap cointegrated rank test for panels of VAR models
Callot, Laurent A. F. - 2010
Persistent link: https://www.econbiz.de/10008746090
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Bootstrap determination of the co-integration rank in vector autoregressive models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 4, pp. 1721-1740
Persistent link: https://www.econbiz.de/10009629515
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A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
Swensen, Anders Rygh - In: Journal of econometrics 165 (2011) 2, pp. 152-162
Persistent link: https://www.econbiz.de/10009409699
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Large panels and high-dimensional vector autoregressive models
Callot, Laurent - 2012
Persistent link: https://www.econbiz.de/10010204938
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Bootstrap determination of the co-integration rank in heteroskedastic var models
Cavaliere, Guiseppe; Rahbek, Anders; Taylor, Robert - In: Econometric reviews 33 (2014) 5/6, pp. 606-650
Persistent link: https://www.econbiz.de/10010363896
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Theory and applications in non-linear cointegrated VAR models
Nejstgaard, Emil - 2014
Persistent link: https://www.econbiz.de/10010412522