Testing Macro Models by Indirect Inference: A Survey for Users

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• 作者：Vo Phuong Mai Le ; David Meenagh ; Patrick Minford ; Michael Wickens…
• 关键词：Bootstrap ; DSGE ; New Keynesian ; New classical ; Indirect inference ; Wald statistic ; Likelihood ratio ; C12 ; C32 ; C52 ; E1
• 刊名：Open Economies Review
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：27
• 期：1
• 页码：1-38
• 全文大小：986 KB
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• 作者单位：Vo Phuong Mai Le (1)
  David Meenagh (1)
  Patrick Minford (1) (2)
  Michael Wickens (1) (2) (3)
  Yongdeng Xu (1)
  
  1. Cardiff Business School, Cardiff University, Aberconway Building, Colum Drive, Cardiff, CF10 3EU, UK
  2. CEPR, 77 Bastwick St, London, EC1V 3PZ, UK
  3. University of York, York, YO10 5DD, UK
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  International Economics
  Development Economics
  
• 出版者：Springer Netherlands
• ISSN：1573-708X

文摘

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. Keywords Bootstrap DSGE New Keynesian New classical Indirect inference Wald statistic Likelihood ratio