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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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Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 136 (2007) 2, pp. 699-723
Persistent link: https://www.econbiz.de/10003412696
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A bootstrap test for the dynamic performance of DSGE models : an outline and some experiments
Minford, Patrick (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003407959
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A test for the distributional comparison of simulated and historical data
Corradi, Valentina; Swanson, Norman R. - In: Economics letters 85 (2004) 2, pp. 185-193
Persistent link: https://www.econbiz.de/10002253539
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Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
Corradi, Valentina (contributor);  … - 2003 - [Elektronische Ressource], Rev
We take as a starting point the existence of a joint distribution implied by different dynamic stochastic general equilibrium (DSGE) models, all of which are potentially misspecified. Our objective is to compare "true" joint distributions with ones generated by given DSGEs. This is accomplished...
Persistent link: https://www.econbiz.de/10001848913
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Bootstrap inference and diagnostics in state space models : with applications to dynamic macro models
Angelini, Giovanni; Cavaliere, Giuseppe; Fanelli, Luca - In: Journal of applied econometrics 37 (2022) 1, pp. 3-22
Persistent link: https://www.econbiz.de/10013165161
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Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data
Swanson, Norman R.; Corradi, Valentina - 2003
We take as a starting point the existence of a joint distribution implied by different dynamic stochastic general equilibrium (DSGE) models, all of which are potentially misspecified. Our objective is to compare "true" joint distributions with ones generated by given DSGEs. This is accomplished...
Persistent link: https://www.econbiz.de/10014075932
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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