Comparing different data descriptors in Indirect Inference tests on DSGE models

A. Patrick Minford, Michael Wickens and Yongdeng Xu

Economics Letters, 2016, vol. 145, issue C, 157-161

Abstract: Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, in small samples power can differ. We explore small sample power with three different auxiliary models: a VAR, average Impulse Response Functions and Moments. The latter corresponds to the Simulated Moments Method. We find that in a small macro model there is no difference in power. But in a large complex macro model the power with Moments rises more slowly with increasing misspecification than with the other two which remain similar.

Keywords: Indirect Inference; DGSE model; Auxiliary models; Simulated Moments Method (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 E1 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Working Paper: Comparing different data descriptors in Indirect Inference tests on DSGE models (2017)
Working Paper: Comparing different data descriptors in Indirect Inference tests on DSGE models (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:145:y:2016:i:c:p:157-161

DOI: 10.1016/j.econlet.2016.06.016

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