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...

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...

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...

As I document using evidence from a journal data repository that I manage, the datasets used in empirical work are getting larger. When we use very large datasets, it can be dangerous to rely on standard methods for statistical inference. In addition, we need to worry about computational issues....

Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many...

Shared-frailty survival models specify that systematic unobserved determinants of duration outcomes are identical within groups of individuals. We consider random-effects likelihood-based statistical inference if the duration data are subject to left-truncation. Such inference with...

Shared-frailty survival models specify that systematic unobserved determinants of duration outcomes are identical within groups of individuals. We consider random-effects likelihood-based statistical inference if the duration data are subject to left-truncation. Such inference with...

Shared-frailty survival models specify that systematic unobserved determinants of duration outcomes are identical within groups of individuals. We consider random-effects likelihood-based statistical inference if the duration data are subject to left-truncation. Such inference with...

Credit ratings are ordinal predictions for the default risk of an obligor. To evaluate the accuracy of such predictions commonly used measures are the Accuracy Ratio or, equivalently, the Area under the ROC curve. The disadvantage of these measures is that they treat default as a binary variable...