DP9058 Testing macroeconomic models by indirect inference on unfiltered data
| Author(s): | David Meenagh, Patrick Minford, Michael R. Wickens |
| Publication Date: | July 2012 |
| Keyword(s): | Bootstrap, DSGE, indirect inference, Monte Carlo, VECM |
| JEL(s): | C12, C32, C52, E1 |
| Programme Areas: | International Macroeconomics |
| Link to this Page: | cepr.org/active/publications/discussion_papers/dp.php?dpno=9058 |
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.