Small Sample Properties of GMM for Business Cycle Analysis
50 Pages Posted: 11 Jul 2000 Last revised: 28 Jun 2023
Date Written: March 1995
Abstract
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.
Suggested Citation: Suggested Citation
Christiano, Lawrence J. and Den Haan, Wouter J., Small Sample Properties of GMM for Business Cycle Analysis (March 1995). NBER Working Paper No. t0177, Available at SSRN: https://ssrn.com/abstract=225087
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