Testing Macroeconomic Models by Indirect Inference on Unfiltered Data
23 Pages Posted: 28 Sep 2012
Date Written: July 2012
Abstract
We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real businss cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.
Keywords: Bootstrap, DSGE, indirect inference, Monte Carlo, VECM
JEL Classification: C12, C32, C52, E1
Suggested Citation: Suggested Citation
CESifo (Center for Economic Studies and Ifo Institute)
Poschinger Str. 5
Munich, DE-81679
Germany
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