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Small Sample Properties of GMM for Business Cycle AnalysisLawrence J. ChristianoNorthwestern University; Federal Reserve Bank of Cleveland; Federal Reserve Bank of Chicago; Federal Reserve Bank of Minneapolis; National Bureau of Economic Research (NBER) Wouter J. Den HaanUniversity of Amsterdam; Centre for Economic Policy Research (CEPR); Tinbergen Institute March 1995 NBER Working Paper No. t0177 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.
Number of Pages in PDF File: 50 working papers seriesDate posted: July 11, 2000Suggested CitationContact Information
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