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DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS

Sentana, Enrique; Mencía, Javier - Centro de Estudios Monetarios y Financieros (CEMFI) - 2008

We derive specification tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic distribution as our alternative hypothesis. In both cases, we decompose the corresponding Lagrange Multiplier-type tests into skewness and kurtosis components,...

Persistent link: https://www.econbiz.de/10008518040

Distributional tests in multivariate dynamic models with Normal and Student t innovations

Mencía, Javier; Sentana, Enrique - Banco de España - 2009

We derive Lagrange Multiplier and Likelihood Ratio specifi cation tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic distribution as our alternative hypothesis. We decompose the corresponding Lagrange Multiplier-type tests into...

Persistent link: https://www.econbiz.de/10008495372

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

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

The ‘Puzzles’ Methodology: En Route to Indirect Inference?

Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael - Centre for Dynamic Macroeconomic Analysis, University … - 2009

Persistent link: https://www.econbiz.de/10008527081

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

An Improved Bootstrap Test of Stochastic Dominance

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2009

We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap … the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have … in general. The improvement stems from the design of the bootstrap test whose limiting behavior mimics the discontinuity …

Persistent link: https://www.econbiz.de/10005011842

Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

Linton1, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Department of Economics, University of Pennsylvania - 2008

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or … results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap. …

Persistent link: https://www.econbiz.de/10005061912

Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference

Le, Vo Phuong Mai; Meenagh, David; Minford, A. Patrick L.; … - Economics Section, Cardiff Business School - 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 ridigity, 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/10005036279

p-Value Adjustments for Asymptotic Control of the Generalized Familywise Error Rate

Bennett, Christopher J. - Vanderbilt University Department of Economics - 2009

This paper introduces a computationally efficient bootstrap procedure for obtaining multiplicity-adjusted p-values in …

Persistent link: https://www.econbiz.de/10005585311