Testing macroeconomic models by indirect inference on unfiltered data

A. Patrick Minford, Michael Wickens and David Meenagh

No 9058, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real businss cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.

Keywords: Bootstrap; Dsge; indirect inference; Monte carlo; Vecm (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 E1 (search for similar items in EconPapers)
Date: 2012-07
New Economics Papers: this item is included in nep-dge and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Working Paper: Testing macroeconomic models by indirect inference on unfiltered data (2012)
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