Testing Macroeconomic Models by Indirect Inference on Unfiltered Data

23 Pages Posted: 28 Sep 2012

See all articles by David Meenagh

David Meenagh

Cardiff University Business School

Patrick Minford

Cardiff University Business School; Centre for Economic Policy Research (CEPR)

Michael Wickens

Cardiff Business School; University of York; Centre for Economic Policy Research (CEPR); CESifo (Center for Economic Studies and Ifo Institute)

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

Meenagh, David and Minford, Patrick and Wickens, Michael and Wickens, Michael, Testing Macroeconomic Models by Indirect Inference on Unfiltered Data (July 2012). CEPR Discussion Paper No. DP9058, Available at SSRN: https://ssrn.com/abstract=2153509

David Meenagh (Contact Author)

Cardiff University Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom
+44 29 2087 5198 (Phone)
+44 29 2087 4419 (Fax)

Patrick Minford

Cardiff University Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom
+44 29 2087 5728 (Phone)
+44 29 2087 4419 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Michael Wickens

Cardiff Business School ( email )

University of York ( email )

Heslington
York, YO10 5DD
United Kingdom
+44 1904 433 764 (Phone)
+44 1904 433 575 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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