Discussion Paper Details

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Title: The 'Puzzles' Methodology: en route to Indirect Inference?

Author(s): Vo Phuong Mai Le, Patrick Minford and Michael R. Wickens

Publication Date: November 2009

Keyword(s): anomaly, Bootstrap, DSGE, indirect inference, puzzle, US-EU Model, VAR and Wald statistic

Programme Area(s): International Macroeconomics

Abstract: We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments with data moments. We compare these with the method of Indirect Inference to which they are closely related. We illustrate the comparison with contrasting assessments of a two-country model in two recent papers. We conclude that Indirect Inference is the proper end point of the puzzles methodology.

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Bibliographic Reference

Le, V, Minford, P and Wickens, M. 2009. 'The 'Puzzles' Methodology: en route to Indirect Inference?'. London, Centre for Economic Policy Research.