Abstract

http://ssrn.com/abstract=225087
 
 

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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

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

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Date posted: July 11, 2000  

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: http://ssrn.com/abstract=225087

Contact Information

Lawrence J. Christiano (Contact Author)
Northwestern University ( email )
2003 Sheridan Road
Evanston, IL 60208
United States
847-491-8231 (Phone)
847-491-7001 (Fax)
Federal Reserve Bank of Cleveland
East 6th & Superior
Cleveland, OH 44101-1387
United States
Federal Reserve Bank of Chicago
230 South LaSalle Street
Chicago, IL 60604
United States
Federal Reserve Bank of Minneapolis
90 Hennepin Avenue
Minneapolis, MN 55480
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Wouter J. Den Haan
University of Amsterdam ( email )
Amsterdam, 1018 WB
Netherlands
HOME PAGE: http://www1.feb.uva.nl/toe/content/people/content/denhaan/pers.htm
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Tinbergen Institute ( email )
Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands
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