Testing Macro Models by Indirect Inference: A Survey for Users
Abstract With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a sub...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Le, Vo Phuong Mai [verfasserIn] |
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| Format: |
Artikel |
|---|---|
| Sprache: |
Englisch |
| Erschienen: |
2015 |
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| Schlagwörter: |
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| Anmerkung: |
© Springer Science+Business Media New York 2015 |
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| Übergeordnetes Werk: |
Enthalten in: Open economies review - Springer US, 1990, 27(2015), 1 vom: 25. Sept., Seite 1-38 |
|---|---|
| Übergeordnetes Werk: |
volume:27 ; year:2015 ; number:1 ; day:25 ; month:09 ; pages:1-38 |
| Links: |
|---|
| DOI / URN: |
10.1007/s11079-015-9377-5 |
|---|
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OLC2074644388 |
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| 520 | |a Abstract With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a substantially false model will tend to be rejected by both; but that the power of the II test is substantially greater, both because the LR is applied after re-estimation of the model error processes and because the II test uses the false model’s own restricted distribution for the auxiliary model’s coefficients. This greater power allows users to focus this test more narrowly on features of interest, trading off power against tractability. | ||
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10.1007/s11079-015-9377-5 doi (DE-627)OLC2074644388 (DE-He213)s11079-015-9377-5-p DE-627 ger DE-627 rakwb eng 330 VZ Le, Vo Phuong Mai verfasserin aut Testing Macro Models by Indirect Inference: A Survey for Users 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media New York 2015 Abstract With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a substantially false model will tend to be rejected by both; but that the power of the II test is substantially greater, both because the LR is applied after re-estimation of the model error processes and because the II test uses the false model’s own restricted distribution for the auxiliary model’s coefficients. This greater power allows users to focus this test more narrowly on features of interest, trading off power against tractability. Bootstrap DSGE New Keynesian New classical Indirect inference Wald statistic Likelihood ratio Meenagh, David aut Minford, Patrick aut Wickens, Michael aut Xu, Yongdeng aut Enthalten in Open economies review Springer US, 1990 27(2015), 1 vom: 25. Sept., Seite 1-38 (DE-627)170550273 (DE-600)1073291-3 (DE-576)025193554 0923-7992 nnns volume:27 year:2015 number:1 day:25 month:09 pages:1-38 https://doi.org/10.1007/s11079-015-9377-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_60 GBV_ILN_70 GBV_ILN_4012 GBV_ILN_4318 AR 27 2015 1 25 09 1-38 |
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10.1007/s11079-015-9377-5 doi (DE-627)OLC2074644388 (DE-He213)s11079-015-9377-5-p DE-627 ger DE-627 rakwb eng 330 VZ Le, Vo Phuong Mai verfasserin aut Testing Macro Models by Indirect Inference: A Survey for Users 2015 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media New York 2015 Abstract With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a substantially false model will tend to be rejected by both; but that the power of the II test is substantially greater, both because the LR is applied after re-estimation of the model error processes and because the II test uses the false model’s own restricted distribution for the auxiliary model’s coefficients. This greater power allows users to focus this test more narrowly on features of interest, trading off power against tractability. Bootstrap DSGE New Keynesian New classical Indirect inference Wald statistic Likelihood ratio Meenagh, David aut Minford, Patrick aut Wickens, Michael aut Xu, Yongdeng aut Enthalten in Open economies review Springer US, 1990 27(2015), 1 vom: 25. Sept., Seite 1-38 (DE-627)170550273 (DE-600)1073291-3 (DE-576)025193554 0923-7992 nnns volume:27 year:2015 number:1 day:25 month:09 pages:1-38 https://doi.org/10.1007/s11079-015-9377-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_60 GBV_ILN_70 GBV_ILN_4012 GBV_ILN_4318 AR 27 2015 1 25 09 1-38 |
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Abstract With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a substantially false model will tend to be rejected by both; but that the power of the II test is substantially greater, both because the LR is applied after re-estimation of the model error processes and because the II test uses the false model’s own restricted distribution for the auxiliary model’s coefficients. This greater power allows users to focus this test more narrowly on features of interest, trading off power against tractability. © Springer Science+Business Media New York 2015 |
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Abstract With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a substantially false model will tend to be rejected by both; but that the power of the II test is substantially greater, both because the LR is applied after re-estimation of the model error processes and because the II test uses the false model’s own restricted distribution for the auxiliary model’s coefficients. This greater power allows users to focus this test more narrowly on features of interest, trading off power against tractability. © Springer Science+Business Media New York 2015 |
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Abstract With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a substantially false model will tend to be rejected by both; but that the power of the II test is substantially greater, both because the LR is applied after re-estimation of the model error processes and because the II test uses the false model’s own restricted distribution for the auxiliary model’s coefficients. This greater power allows users to focus this test more narrowly on features of interest, trading off power against tractability. © Springer Science+Business Media New York 2015 |
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| up_date |
2024-07-03T22:57:14.880Z |
| _version_ |
1803600459078828032 |
| fullrecord_marcxml |
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">OLC2074644388</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230503233342.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">200820s2015 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s11079-015-9377-5</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC2074644388</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-He213)s11079-015-9377-5-p</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">330</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Le, Vo Phuong Mai</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Testing Macro Models by Indirect Inference: A Survey for Users</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2015</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© Springer Science+Business Media New York 2015</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. 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| score |
7.397669 |