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Discussion Paper Details

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Title: Testing macroeconomic models by indirect inference on unfiltered data

Author(s): David Meenagh, Patrick Minford and Michael R. Wickens

Publication Date: July 2012

Keyword(s): Bootstrap, DSGE, indirect inference, Monte Carlo and VECM

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Meenagh, D, Minford, P and Wickens, M. 2012. 'Testing macroeconomic models by indirect inference on unfiltered data'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=9058