期刊名称：Cardiff Economics Working Papers / Cardiff University, Cardiff Business School
印刷版ISSN：1749-6101
出版年度：2015
期号：9
语种：English
出版社：Cardiff University
摘要：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 reestimation 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.
关键词：Bootstrap;DSGE;New Keynesian;New Classical;indirect inference;Wald statistic;likelihood ratio
