Small sample properties of GMM for business cycle analysis

Lawrence Christiano () and Wouter Den Haan
Authors registered in the RePEc Author Service: Wouter Denhaan ()

No 199, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: We investigate, by Monte Carlo methods, the finite sample properties of GMM procedures for conducting inference about statistics that are of interest in the business cycle literature. These statistics include the second moments of data filtered using the first difference and Hodrick-Prescott filters, and they include statistics for evaluating model fit. Our results indicate that, for the procedures considered, the existing asymptotic theory is not a good guide in a sample the size of quarterly postwar U.S. data.

Keywords: Business; cycles (search for similar items in EconPapers)
Date: 1995
View list of references View citations in EconPapers

Downloads: (external link)
http://minneapolisfed.org/research/sr/sr199.pdf (application/pdf)

Related works:
Working Paper: Small Sample Properties of GMM for Business Cycle Analysis (1995)
Working Paper: Small sample properties of GMM for business cycle analysis (1995)
Working Paper: Small Sample Properties of GMM for Business Cycle Analysis (1994)
Journal Article: Small-Sample Properties of GMM for Business-Cycle Analysis (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:fip:fedmsr:199

Ordering information: This working paper can be ordered from
http://www.minneapolisfed.org/pubs/

Access Statistics for this paper

More papers in Staff Report from Federal Reserve Bank of Minneapolis
Contact information at EDIRC.
Series data maintained by Diane Rosenberger ().