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
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)
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Journal Article: Small-Sample Properties of GMM for Business-Cycle Analysis (1996)
Working Paper: Small sample properties of GMM for business cycle analysis (1995)
Working Paper: Small Sample Properties of GMM for Business Cycle Analysis (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmsr:199
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