Small Sample Properties of GMM for Business Cycle Analysis
Lawrence J. Christiano
Northwestern 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 Haan
University of Amsterdam; Centre for Economic Policy Research (CEPR); Tinbergen Institute
NBER Working Paper No. t0177
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: 50working papers series
Date posted: July 11, 2000
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